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1. A NOTE ON THE SOLUTION OF THE STOCHASTIC ALGEBRAIC RICCATI EQUATION

Author

Lei Jia and Wei-Hai Zhang

Subjects
Algebraic solution, Mathematical analysis, Hamilton–Jacobi–Bellman equation, Linear-quadratic regulator, Algebraic Riccati equation, symbols.namesake, Stochastic differential equation, Wiener process, Control and Systems Engineering, symbols, Riccati equation, Applied mathematics, Observability, Mathematics
Abstract

This paper deals with the solution of the stochastic algebraic Riccati equation, which has been discussed by many authors. A sufficient and necessary condition for the existence of the positive solution is derived, which improves the previous results.

Published
2008

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