In this paper we establish explicit closed formulae for the solution of the matrix Riccati differential equation (RDE) with a terminal condition that that involve particular solutions of the associated algebraic Riccati equation. We discuss how these formulae change as assumptions are progressively weakened.
On the exact solution of the matrix Riccati differential equation
FERRANTE, AUGUSTO
2011
Abstract
In this paper we establish explicit closed formulae for the solution of the matrix Riccati differential equation (RDE) with a terminal condition that that involve particular solutions of the associated algebraic Riccati equation. We discuss how these formulae change as assumptions are progressively weakened.
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