Systems of matrix rational differential equations arising in connection with linear stochastic systems with Markovian jumping.
From MaRDI portal
Publication:1413195
DOI10.1016/S0022-0396(03)00131-1zbMath1039.34052OpenAlexW2008802251MaRDI QIDQ1413195
Publication date: 16 November 2003
Published in: Journal of Differential Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0022-0396(03)00131-1
Related Items
\(H^{2}\) optimal control for linear stochastic systems, The LMI approach for stabilizing of linear stochastic systems, \(H_2/H_\infty\) control for stochastic jump-diffusion systems with Markovian switching, Dynamic trading with Markov liquidity switching, On a class of rational matrix differential equations arising in stochastic control., Stochastic \(H^2\) optimal control for a class of linear systems with periodic coefficients, Properties of the solutions of rational matrix difference equations, Linear-quadratic stochastic leader-follower differential games for Markov jump-diffusion models
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Addendum to a theorem of Yakubovich
- Monotonicity of maximal solutions of algebraic Riccati equations
- Differential periodic Riccati equations: Existence and uniqueness of nonnegative definite solutions
- On Riccati matrix differential equations
- Global solutions to a game-theoretic Riccati equation of stochastic control
- A new approach to lineary perturbed Riccati equations arising in stochastic control
- Stability of stochastic differential equations with Markovian switching
- Existence and comparison theorems for algebraic Riccati equations and Riccati differential and difference equations
- Non-blow-up conditions for Riccati-type matrix differential and difference equations
- Disconjugacy
- Game-theoretic coupled riccati equations associated to controlled linear differential systems with jump markov perturbations
- Quadratic Control for Linear Time-Varying Systems
- Optimal stationary control for dynamic systems with Markov perturbations
- Controllability, stabilizability, and continuous-time Markovian jump linear quadratic control
- Robust jump linear quadratic control: A mode stabilizing solution
- The difference periodic Ricati equation for the periodic prediction problem
- Periodic strong solutions of periodically time-varying matrix Riccati equations
- Overtaking Optimal Regulation and Tracking of Piecewise Diffusion Linear Systems
- Some Remarks on the Riccati Equation Arising in an Optimal Control Problem with State- and Control-Dependent Noise
- Parametrized riccati equations for controlled linear differential systems with jump Markov perturbations
- Stochastic $H^\infty$
- Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
- Comparison and uniqueness theorems for periodic Riccati differential equations
- Solution and asymptotic behavior of coupled Riccati equations in jump linear systems
- Stability and control for linear systems with jump Markov perturbations
- Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls
- Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls
- Stability and robust stabilization to linear stochastic systems described by differential equations with markovian jumping and multiplicative white noise
- Existence of solutions to the Riccati equation for time-varying distributed systems
- Monotoneity Properties of Solutions of Hermitian Riccati Matrix Differential Equations
- Optimal Stationary Control with State Control Dependent Noise
