Generalized Riccati equations arising in stochastic games
نویسندگان
چکیده
منابع مشابه
Generalized Riccati Equations Arising in Stochastic Games
We study a class of rational matrix differential equations that generalize the Riccati differential equations. The generalization involves replacing positive definite “weighting” matrices in the usual Riccati equations with either semidefinite or indefinite matrices that arise in linear quadratic control problems and differential games−both stochastic and deterministic. The purpose of this pape...
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ژورنال
عنوان ژورنال: Linear Algebra and its Applications
سال: 2006
ISSN: 0024-3795
DOI: 10.1016/j.laa.2005.12.011