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A Class of Nonlinear Differential Equations on an Ordered Linear Space of Symmetric Matrices with Applications to Riccati Differential Equations of Stochastic Control

In: Mathematical Methods in Robust Control of Linear Stochastic Systems

Author

Listed:
  • Vasile Dragan

    (Institute of Mathematics of the Romanian Academy)

  • Toader Morozan

    (Institute of Mathematics of the Romanian Academy)

  • Adrian-Mihail Stoica

    (University Politechnica of Bucharest)

Abstract

In many control problems, both in deterministic and in stochastic framework, a crucial role is played by a class of nonlinear matrix differential equations or nonlinear matrix algebraic equations known as matrix Riccati equations.

Suggested Citation

  • Vasile Dragan & Toader Morozan & Adrian-Mihail Stoica, 2013. "A Class of Nonlinear Differential Equations on an Ordered Linear Space of Symmetric Matrices with Applications to Riccati Differential Equations of Stochastic Control," Springer Books, in: Mathematical Methods in Robust Control of Linear Stochastic Systems, edition 2, chapter 0, pages 189-264, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4614-8663-3_5
    DOI: 10.1007/978-1-4614-8663-3_5
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