✦ LIBER ✦

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

✍ Scribed by G Freiling; A Hochhaus

Publisher: Elsevier Science
Year: 2004
Tongue: English
Weight: 280 KB
Volume: 379
Category: Article
ISSN: 0024-3795
DOI: 10.1016/s0024-3795(02)00651-1

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✦ Synopsis

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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