A note on the exponential stability of a matrix Riccati equation of stochastic control

Jerzy Zabczyk

Kybernetika (1975)

  • Volume: 11, Issue: 3, page (218)-222
  • ISSN: 0023-5954

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Zabczyk, Jerzy. "A note on the exponential stability of a matrix Riccati equation of stochastic control." Kybernetika 11.3 (1975): (218)-222. <http://eudml.org/doc/28106>.

@article{Zabczyk1975,
author = {Zabczyk, Jerzy},
journal = {Kybernetika},
language = {eng},
number = {3},
pages = {(218)-222},
publisher = {Institute of Information Theory and Automation AS CR},
title = {A note on the exponential stability of a matrix Riccati equation of stochastic control},
url = {http://eudml.org/doc/28106},
volume = {11},
year = {1975},
}

TY - JOUR
AU - Zabczyk, Jerzy
TI - A note on the exponential stability of a matrix Riccati equation of stochastic control
JO - Kybernetika
PY - 1975
PB - Institute of Information Theory and Automation AS CR
VL - 11
IS - 3
SP - (218)
EP - 222
LA - eng
UR - http://eudml.org/doc/28106
ER -

References

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  1. W. M. Wonham, On a matrix Riccati equation of stochastic control, SIAM J. Control 6 (1968), 681-697. (1968) MR0239161
  2. I. M. Rodriguez-Canabal, The geometry of the Riccati equation, Ph. D. dissertation, University of Southern California, June 1972. (1972) 
  3. P. Hartman, Ordinary Differential Equations, John Wiley and Sons, New York 1964. (1964) Zbl0125.32102MR0171038
  4. J. Zabczyk, On stochastic control of discrete time systems in Hilbert space, SIAM J. Control (to appear). MR0529600
  5. M. A. Krasnosel'skii, Positive Solutions of Operator Equations, P. Noordhoff Ltd., Groningen 1964. (1964) MR0181881
  6. R. S. Bucy P. D. Joseph, Filtering for Stochastic Processes with Applications to Guidance, Interscience Publishers, New York - London 1968. (1968) MR0267946

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