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On a class of rational matrix differential equations arising in stochastic control

Authors
Journal
Linear Algebra and its Applications
0024-3795
Publisher
Elsevier
Publication Date
Volume
379
Identifiers
DOI: 10.1016/s0024-3795(02)00651-1
Keywords
  • Rational Matrix Differential Equations
  • Generalized Riccati Differential Equations
  • Generalized Stabilizability And Detectability
  • Comparison Theorem
  • Existence And Convergence Results
Disciplines
  • Mathematics

Abstract

Abstract We prove a monotonicity and a comparison theorem for the solutions of a rational matrix differential equation appearing in stochastic control and derive existence and convergence results for the solutions of this differential equation. Moreover, in the time-invariant case, we present conditions ensuring that the corresponding algebraic matrix equation has a stabilizing solution.

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