On the existence of the stabilizing solution of a class of periodic stochastic Riccati equations

Abstract : 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 (LQ) 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.
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https://hal.archives-ouvertes.fr/hal-02265678
Contributor : Samir Aberkane <>
Submitted on : Sunday, August 11, 2019 - 3:49:34 PM
Last modification on : Monday, August 12, 2019 - 1:07:11 AM

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Samir Aberkane, Vasile Dragan. On the existence of the stabilizing solution of a class of periodic stochastic Riccati equations. IEEE Transactions on Automatic Control, Institute of Electrical and Electronics Engineers, In press, pp.Early Access. ⟨10.1109/TAC.2019.2927589⟩. ⟨hal-02265678⟩

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