On a class of rational matrix differential equations arising in stochastic control.
The authors investigate a class of generalized Riccati equations appearing in stochastic control theory. These so-called rational matrix differential equations are studied. A new comparison theorem is obtained. Also various sufficient conditions for the asymptotic behaviour of solutions are provided.
generalized Riccati differential equations
generalized stabilizability and detectability
scientific article; zbMATH DE number 2056676