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Zbl 0701.93106
de Souza, Carlos E.; Fragoso, Marcelo D.
On the existence of maximal solution for generalized algebraic Riccati equations arising in stochastic control. (English)
[J] Syst. Control Lett. 14, No.3, 233-239 (1990). ISSN 0167-6911

Summary: Existence of maximal solution is proved for a generalized version of the well-known standard algebraic Riccati equations which arise in certain stochastic optimal control problems.
MSC 2000:
*93E20 Optimal stochastic control (systems)
15A24 Matrix equations

Keywords: generalized algebraic Riccati equations; maximal solution

Cited in: Zbl 1157.93540 Zbl 1147.93042 Zbl 1031.93157 Zbl 0989.93095

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