Factoring spectral matrices in linear-quadratic models

DOI10.1016/0165-1765(91)90102-QzbMath0725.15015WikidataQ127642630 ScholiaQ127642630MaRDI QIDQ2277545

Bart Taub, Joseph A. Ball

Publication date: 1991

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

spectral factorizationanalytic matrix functionlinear-quadratic stochastic controlinvertible matrix function

Mathematics Subject Classification ID

Factorization of matrices (15A23) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Norms of matrices, numerical range, applications of functional analysis to matrix theory (15A60) Factorization theory (including Wiener-Hopf and spectral factorizations) of linear operators (47A68) Matrices over function rings in one or more variables (15A54)

Related Items (3)

Optimal policy in a model of endogenous fluctuations and assets ⋮ The dynamics of strategic information flows in stock markets ⋮ Speculative dynamics

Cites Work

• Unnamed Item
• Aggregate fluctuations as an information transmission mechanism
• Interpolation of rational matrix functions

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