Search results for "Algebraic differential equation"
showing 2 items of 2 documents
The interrelation between stochastic differential inclusions and set-valued stochastic differential equations
2013
Abstract In this paper we connect the well established theory of stochastic differential inclusions with a new theory of set-valued stochastic differential equations. Solutions to the latter equations are understood as continuous mappings taking on their values in the hyperspace of nonempty, bounded, convex and closed subsets of the space L 2 consisting of square integrable random vectors. We show that for the solution X to a set-valued stochastic differential equation corresponding to a stochastic differential inclusion, there exists a solution x for this inclusion that is a ‖ ⋅ ‖ L 2 -continuous selection of X . This result enables us to draw inferences about the reachable sets of solutio…
Solving coupled Riccati matrix differential systems
1991
Abstract We start by noting that coupled Riccati matrix differential systems appearing in differential games may be considered as a single rectangular Riccati equation. An explicit solution of the coupled differential system in terms of a solution of the associated algebraic Riccati equation is given.