Existence and comparison theorems for partial differential equations of Riccati type

Abstract

In this paper, we discuss the partial differential equation of Riccati type that describes the optimal filtering error covariance function for a linear distributed-parameter system with pointwise observations. Since this equation contains the Dirac delta function, it is impossible to apply directly the usual methods of functional analysis to prove existence and uniqueness of a bounded solution. By using properties of the fundamental solution and the classical technique of successive approximation, we prove the existence and uniqueness theorem. We then prove the comparison theorem for partial differential equations of Riccati type. Finally, we consider some applications of these theorems to the distributed-parameter optimal sensor location problem.

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