Indefinite Stochastic Riccati Equations
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For some cases where \(R\), \(Q\), and \(H\) can be indefinite, theorems are proved which establish the existence of a unique bounded solution of the matrix stochastic Riccati equation (which arises in stochastic control) \[ \begin{aligned} dP= & \Biggl\{PA+ A'P+ \sum^k_{j=1} (\Lambda_j C_j+ C_j'\Lambda_j+ C_j' PC_j)+ Q\\ & -\Biggl[PB+ \sum^k_{j=1} (C_j' P+ \Lambda_j) D_j\Biggr] K^{-1} \Biggl[B'P+ \sum^k_{j=1} D_j'(PC_j+ \Lambda_j) \Biggr]\Biggr\} \,dt +\sum^k_{j=1} \Lambda_j dW^j,\end{aligned} \] \(t\in [0,T]\), where \(P(T)= H\) and \(K= R+ \sum^k_{j=1} D_j' PD_j> 0\).
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