Solving coupled Riccati matrix differential systems

DOI10.1016/0893-9659(91)90114-BMaRDI QIDQ810219zbMATH OpenFDO

Authors L. Jódar

Publication date 1991

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0893-9659(91)90114-B

zbMATH Keywords

associated algebraic matrix Riccati equationexplicit solutionnonzero-sum linear quadratic differential gamespair of coupled matrix Riccati differential equations

Mathematics Subject Classification ID

Explicit solutions, first integrals of ordinary differential equations (34A05) Differential games (aspects of game theory) (91A23)

Review text

The paper continues the above reviewed paper. It gives an explicit (exponential) expression for the solution to a pair of coupled matrix Riccati differential equations (appearing in nonzero-sum linear quadratic differential games) in a neighborhood of a terminal time where terminal conditions are fixed. The result is proved under algebraic conditions providing existence of a solution of the associated algebraic matrix Riccati equation; in terms of the latter, the desired solution is expressed.

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Cites work

• A Resolution Method for Riccati Differential Systems Coupled in Their Quadratic Terms
• Computing integrals involving the matrix exponential
• Explicit solutions of Riccati equations appearing in differential games
• scientific article; zbMATH DE number 3373921 (Why is no real title available?)
• scientific article; zbMATH DE number 3388871 (Why is no real title available?)
• Nonzero-sum differential games
• On the Matrix Riccati Equation

Cited in

(9)

• A Resolution Method for Riccati Differential Systems Coupled in Their Quadratic Terms
• scientific article; zbMATH DE number 4101018 (Why is no real title available?)
• Coupled matrix Riccati equations in minimal cost variance control problems
• scientific article; zbMATH DE number 799614 (Why is no real title available?)
• Systems of matrix Riccati equations, linear fractional transformations, partial integrability and synchronization
• Explicit solutions of Riccati equations appearing in differential games
• Combined method for the solution of asymmetric Riccati differential equations
• Solving differential matrix Riccati equations by a piecewise-linearized method based on the conmutant equation
• Advanced type coupled matrix Riccati differential equation systems with Kronecker product

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