An addendum to the problem of numerical computation of the stabilizing solution of periodic game theoretic Riccati differential equation of stochastic control

摘要

This note is an addendum to the results reported in Dragan (2014, IMA J. Math. Control Inf.) concerning the numerical computation of the stabilizing solution of periodic game theoretic Riccati differential equation arising in some stochastic control problems. A globally convergent iterative algorithm is proposed for this purpose. The performances of the proposed algorithm are illustrated on some numerical examples.