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

DOI10.1016/j.laa.2005.04.003zbMath1140.93495OpenAlexW2003194897WikidataQ115344948 ScholiaQ115344948MaRDI QIDQ2566761

Jack Baczynski, Marcelo Dutra Fragoso

Publication date: 28 September 2005

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

Full work available at URL: https://doi.org/10.1016/j.laa.2005.04.003

zbMATH Keywords

Banach spaceStochastic controlRiccati differential equationMarkov jump linear systemInfinite dimension

Mathematics Subject Classification ID

Related Items (6)

Perturbation Theory for Linearly Perturbed Algebraic Riccati Equations ⋮ \(H_2/H_\infty\) control for stochastic jump-diffusion systems with Markovian switching ⋮ Optimal control for infinite dimensional stochastic differential equations with infinite Markov jumps and multiplicative noise ⋮ Infinite Markov jump-bounded real lemma ⋮ Maximal solution to algebraic Riccati equations linked to infinite Markov jump linear systems ⋮ Maximal versus strong solution to algebraic Riccati equations arising in infinite Markov jump linear systems

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