On an infinite dimensional perturbed Riccati differential equation arising in stochastic control

被引：8

作者：

Fragoso, MD ^{[1
]}

Baczynski, J ^{[1
]}

机构：

[1] Natl Lab Sci Comp, LNCC, CNPq, MCT,Dept Syst & Control, BR-25651070 Rio De Janeiro, Brazil

来源：

LINEAR ALGEBRA AND ITS APPLICATIONS | 2005年 / 406卷

关键词：

Riccati differential equation; infinite dimension; Banach space; Markov jump linear system; stochastic control;

D O I：

10.1016/j.laa.2005.04.003

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Existence and uniqueness of solutions for a class of infinite dimensional perturbed Riccati differential equations in a certain Banach space is our main concern in this paper. Besides the interest in its own right, this class arises in control problems involving linear systems with countably infinite Markov jump parameters. (c) 2005 Elsevier Inc. All rights reserved.

引用

页码：165 / 176

页数：12

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