IEEE Transactions on Automatic Control, Vol.41, No.2, 264-269, 1996
On Global Existence of Solutions to Coupled Matrix Riccati-Equations in Closed-Loop Nash Games
We present comparison and global existence results for solutions of coupled matrix Riccati differential equations appearing in closed-loop Nash games and in mixed H-2/H-infinity-type problems, Convergence of solutions is established for the diagonal case. Solutions of the corresponding algebraic equations are discussed using numerical examples.