Singular Stochastic Riccati Equation

About the Singular Stochastic Riccati Equation Driven by a Brownian Motion abstract:In this paper, we consider the following n×n matrix-valued stochastic Riccati differential equation, where n>1We prove that it still has a unique, square integrable solution for the case of N=0. Finally we also give an estimate for the convergence rate on the iter-ating sequence of Bellman Quasi-Linearization of the above Stochastic Riccati Equation in the case of L=0.