On the boundedness of the solutions of the continuous Riccati equation.
Pengov, Marco, Richard, Edouard, Vivalda, Jean-Claude (2001)
Journal of Inequalities and Applications [electronic only]
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On the boundedness of the solutions of the continuous Riccati equation.
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We consider a multidimensional linear system with additive inputs (control) and Brownian noise. There is a cost associated with each control. The aim is to minimize the cost. However, we work with the model in which the parameters of the system may change in time and in addition the exact form of these parameters is not known, only intervals within which they vary are given. In the situation where minimization of a functional over the class of admissible controls makes no sense since...