Numerical solution to generalized Lyapunov/Stein and rational Riccati equations in stochastic control

Hung-Yuan Fan, Peter Chang-Yi Weng, Eric King-Wah Chu. Numerical solution to generalized Lyapunov/Stein and rational Riccati equations in stochastic control. Numerical Algorithms, 71(2):245-272, 2016. [doi]

Abstract

Abstract is missing.