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On a class of rational matrix differential equations arising in stochastic control. (English) Zbl 1070.34054
The authors investigate a class of generalized Riccati equations appearing in stochastic control theory. These so-called rational matrix differential equations are studied. A new comparison theorem is obtained. Also various sufficient conditions for the asymptotic behaviour of solutions are provided.

MSC:
34C10 Oscillation theory, zeros, disconjugacy and comparison theory for ordinary differential equations
34A34 Nonlinear ordinary differential equations and systems
34D05 Asymptotic properties of solutions to ordinary differential equations
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