Abstract. We present a new tunably accurate Laguerre Petrov–Galerkin spectral method for solving linear multiterm fractional initial value problems with derivative orders at most one and constant coefficients on the half line. Our method results in a matrix equation of special structure which can be solved in O(N logN) operations. We also take advantage of recurrence relations for the generaliz...

Existence of periodic solutions for non-linear third order autonomous differential equation (O.D.E.) has not been investigated to as large an extent as non-linear second order. The popular Poincare-Bendixon theorem applicable to second order equation is not valid for third order equation (see [3]). This conclusion opens a way for further investigation.

The limit cycles of nonlinear systems under the small stochastic disturbances are considered. The random trajectories of forced system leave the deterministic cycle and form some stochastic bundle around it. The probabilistic description of this bundle near cycle based on stochastic sensitivity function (SSF) is suggested. The SSF is a covariance matrix for periodic solution of linear stochasti...

The optimal control problem in a finite time horizon with an indefinite quadratic cost function for a linear system subject to multiplicative noise on both the state and control can be solved via a constrained matrix differential Riccati equation. In this paper, we provide general necessary and sufficient conditions for the solvability of this generalized differential Riccati equation. Furtherm...

The delay Lyapunov equation is an important matrix boundary-value problem which arises as an analogue of the Lyapunov equation in the study of time-delay systems ẋ(t) = A0x(t) +A1x(t− τ) +B0u(t). We propose a new algorithm for the solution of the delay Lyapunov equation. Our method is based on the fact that the delay Lyapunov equation can be expressed as a linear system of equations, whose unkn...