Invariant manifolds and projective combinations of solutions of the Riccati differential equation
The author considers the Riccati differential equation \[ \dot X(t)= B_{21}(t)+ B_{22}(t) X(t)- X(t) B_{11}(t)- X(t) B_{12}(t) X(t),\tag{\(*\)} \] where \(X\) is a real matrix-valued function of size \(m\times n\) and \(B_{ij}\), \(i\in\{1,2\}\), \(j\in\{1,2\}\), are continuous real matrix-valued functions of suitable sizes on the interval \([t_0,t_1]\). The main result of this paper is the following theorem: Consider \(k\geq 2\) solutions to equation \((*)\), \(X_1,\dots, X_k\) without finite escape time in the interval \([t_0,t_1]\). Define the corresponding feedback matrices \(\Gamma_i(t)= B_{11}(t)+ B_{12}(t) X_i(t)\), \(i\in 1,\dots, k\), \(t\in [t_0,t_1]\) and the related transition matrices \(\psi_{\Gamma_i}(t,s)\), \(i\in 1,\dots, k\), \(k\geq 2\), the time varying subspaces \(M_i(t)\), \(i\in 1,\dots, k\), \(t\in [t_0, t_1]\), such that \(M_1(t_0)\oplus\cdots\oplus M_k(t_0)= \mathbb{R}^n\) and \(M_i(t)= \psi_{\Gamma_i}(t, t_0) M_i(t_0)\), \(i\in 1,\dots, k\), \(t\in [t_0, t_1]\), hold. Assume that \(M_1(t)\oplus\cdots\oplus M_k(t)= \mathbb{R}^n\) for each \(t\in [t_0, t_1]\). Define \(\pi_i\), \(i\in 1,\dots, k\), the projection onto \(M_i\) along \(M_1\oplus\cdots\oplus M_{i-1} \oplus M_{i+1}\oplus\cdots\oplus M_k\). Define \(X:= \sum^{i=k}_{i=1} X_i\pi_i\). Then, \(X\) satisfies equation \((*)\).
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