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On an infinite dimensional perturbed Riccati differential equation arising in stochastic control

โœ Scribed by Marcelo D. Fragoso; Jack Baczynski


Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
250 KB
Volume
406
Category
Article
ISSN
0024-3795

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On a class of rational matrix differenti
โœ G Freiling; A Hochhaus ๐Ÿ“‚ Article ๐Ÿ“… 2004 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 280 KB

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