On the Existence of the Stabilizing Solution of a Class of Periodic Stochastic Riccati Equations.

This paper is devoted to the characterization of existence and uniqueness conditions for the stabilizing solution of a large class of Riccati equations arising in stochastic dynamic games. As an application of the obtained results, we consider in a second step the problem of a zero-sum two players linear quadratic difference game for a stochastic discrete-time dynamical system subject to both random switching of its coefficients and multiplicative noise. We show that in the solution of such a control problem, a crucial role is played by the stabilizing solution of the considered class of Riccati difference equations. [ABSTRACT FROM AUTHOR]