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 ensu
β¦ LIBER β¦
Newton's method for a rational matrix equation occurring in stochastic control
β Scribed by T. Damm; D. Hinrichsen
- Book ID
- 108360542
- Publisher
- Elsevier Science
- Year
- 2001
- Tongue
- English
- Weight
- 257 KB
- Volume
- 332-334
- Category
- Article
- ISSN
- 0024-3795
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