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Newton’s method for a rational matrix equation occurring in stochastic control. (English) Zbl 0982.65050
The paper deals with a general class of rational matrix equations containing the continuous and discrete Riccati equations. The authors present a unifying framework for analysis of this class of equations based on theory of resolvent positive operators. Solvability starting at an arbitrary stabilizing matrix is shown.

MSC:
65F30 Other matrix algorithms (MSC2010)
65K10 Numerical optimization and variational techniques
93E20 Optimal stochastic control
15A24 Matrix equations and identities
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