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In this paper, the stochastic Nash games for weakly coupled large-scale systems with state-dependent noise are considered. The considered stochastic algebraic Riccati equations is quite different from the existing results in the sense that the equations have the additional linear term. The numerical algorithm based on Lyapunov iterations for solvin...
We consider a new type nonlinear matrix equation. We investigate the existence a positive definite solution and two iterative methods for computing this solution. The first method is the classical Newton procedure and the second is a new Stein iteration. In this paper it is proved that a new Stein iteration has convergence properties to those of th...