MMN-2972
A periodic solution of the coupled matrix Riccati differential equations
Zahra Goodarzi; Abdolrahman Razani; M.R. Mokhtarzadeh;Abstract
The main contribution of this paper is to generalize the martix Riccati
differential equation to coupled matrix Riccati differential equation. This generalization applies in
many areas such as optimal control problem, stochastic control problem and etc. Then the existence of at least one periodic solution of the coupled matrix Riccati equation with $n\times n$ matrix coefficients is proved. Finally, two numerical examples are presented.
Vol. 20 (2019), No. 2, pp. 887-898