scientific article; zbMATH DE number 1407650
The paper offers a representation formula for the solutions of the discrete matrix Riccati difference equation \[ W(k+1)=-M_{21}-M_{22}W(k) \bigl(I-M_{12} W(k)\bigr)^{-1}M_{11}, \quad W(0)= W_0, \] where \(M_{11}\), \(M_{12}\), \(M_{21}\), \(M_{22}\) are matrices of type \(n\times n\), \(n\times m\), \(m\times n\) and \(m\times m\), respectively. The representation formula is used to show that every solution \(\{W(k)\}^\infty_{k=0}\) of this equation, if it is defined for all \(k\geq 0\), is either convergent to a finite limit or infinite limit or it is asymptotically periodic or almost periodic. A parametrization of all solutions of the algebraic Riccati equation \[ 0=-M_{21}-M_{22} W(I-M_{12} W)^{-1}M_{11} \] and some results on the asymptotic behavior of the solutions of time-varying Riccati difference equations with asymptotically constant coefficients are given as well.
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