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Indefinite Stochastic Riccati Equations

โœ Scribed by Hu, Ying; Zhou, Xun Yu


Book ID
118207875
Publisher
Society for Industrial and Applied Mathematics
Year
2003
Tongue
English
Weight
182 KB
Volume
42
Category
Article
ISSN
0363-0129

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๐Ÿ“œ SIMILAR VOLUMES


The stochastic Riccati equation
โœ R. Bellman; G. Adomian ๐Ÿ“‚ Article ๐Ÿ“… 1980 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 127 KB
Generalized Riccati equations arising in
โœ Michael McAsey; Libin Mou ๐Ÿ“‚ Article ๐Ÿ“… 2006 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 189 KB

We study a class of rational matrix differential equations that generalize the Riccati differential equations. The generalization involves replacing positive definite "weighting" matrices in the usual Riccati equations with either semidefinite or indefinite matrices that arise in linear quadratic co