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Indefinite Stochastic Riccati Equations
SIAM Journal on Control and Optimization, 2003For some cases where \(R\), \(Q\), and \(H\) can be indefinite, theorems are proved which establish the existence of a unique bounded solution of the matrix stochastic Riccati equation (which arises in stochastic control) \[ \begin{aligned} dP= & \Biggl\{PA+ A'P+ \sum^k_{j=1} (\Lambda_j C_j+ C_j'\Lambda_j+ C_j' PC_j)+ Q\\ & -\Biggl[PB+ \sum^k_{j=1 ...
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