An iterative method for solving stochastic Riccati differential equations for the stochastic LQR problem

This paper develops an iterative method for solving stochastic Riccati differential equations for stochastic linear quadratic regulator (LQR) problems some of which may be even with indefinite control weight costs. We obtain a sequence of solutions of linear matrix differential equations which converges uniformly to the solution of a stochastic Riccati differential equation.