Boundary problems for Riccati and Lyapunov equations

Abstract

The resolution problem of the systemwhere U(t), A, B, D and Uo are bounded linear operators on H and B* denotes the adjoint operator of B, arises in control theory, [9], transport theory, [12], and filtering problems, [3]. The finite-dimensional case has been introduced in [6,7], and several authors have studied the infinite-dimensional case, [4], [13], [18]. A recent paper, [17],studies the finite dimensional boundary problemwhere t ∈[0,b].In this paper we consider the more general boundary problemwhere all operators which appear in (1.2) are bounded linear operators on a separable Hilbert space H. Note that we do not suppose C = −B* and the boundary condition in (1.2) is more general than the boundary condition in (1.1).