Generalized Riccati difference and differential equations

DOI10.1016/0024-3795(95)00587-0zbMath0856.34003OpenAlexW1978545662MaRDI QIDQ1923154

Gerhard Jank, Hisham Abou-Kandil, Gerhard Freiling

Publication date: 7 October 1996

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0024-3795(95)00587-0

zbMATH Keywords

comparisonconvergencevector valued Riccati differential and difference equations

Mathematics Subject Classification ID

Initial value problems, existence, uniqueness, continuous dependence and continuation of solutions to ordinary differential equations (34A12) Growth and boundedness of solutions to ordinary differential equations (34C11) Additive difference equations (39A10)

Related Items (13)

Differential equations with positive evolutions and some applications ⋮ Perturbations and projections of Kalman-Bucy semigroups ⋮ On the lack of monotonicity of Newton-Hewer updates for Riccati equations ⋮ Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading ⋮ Feedback strategies for discrete-time linear-quadratic two-player descriptor games ⋮ On a class of rational matrix differential equations arising in stochastic control. ⋮ Generalized Ricci curvature bounds for three dimensional contact subriemannian manifolds ⋮ Optimal investment for insurers with the extended CIR interest rate model ⋮ Generalized Riccati equations arising in stochastic games ⋮ On the robustness of Riccati flows to complete model misspecification ⋮ Time-varying discrete Riccati equation: Some monotonicity results ⋮ Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process ⋮ A survey of nonsymmetric Riccati equations

Cites Work

• Unnamed Item
• Monotonicity of maximal solutions of algebraic Riccati equations
• Existence and comparison theorems for algebraic Riccati equations for continuous- and discrete-time systems
• Maximal solution of a certain class of periodic Riccati differential equations
• A comparison theorem for matrix Riccati difference equations
• A Galois correspondence between sets of semidefinite solutions of continuous-time algebraic Riccati equations
• On the solution of discrete-time Markovian jump linear quadratic control problems
• Disconjugacy
• An existence and monotonicity theorem for the discrete algebraic matrix Riccati equation
• On stabilizing properties of solutions of the Riccati difference equation
• Robust-controller design for systems with large parameter variations
• Comparison theorems for the matrix riccati equation
• Controllability, observability and discrete-time markovian jump linear quadratic control
• Solution and asymptotic behavior of coupled Riccati equations in jump linear systems
• On a Certain Asymptotic Behaviour of Time-Invariant Riccati Matrix Differential Equations
• On a Matrix Riccati Equation of Stochastic Control
• Monotoneity Properties of Solutions of Hermitian Riccati Matrix Differential Equations

This page was built for publication: Generalized Riccati difference and differential equations