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Differential lyapunov euqation

• To: mathgroup at smc.vnet.net
• Subject: [mg125736] Differential lyapunov euqation
• From: Obaid Ur Rehman <O.Rehman at adfa.edu.au>
• Date: Fri, 30 Mar 2012 04:37:45 -0500 (EST)
• Delivered-to: l-mathgroup@mail-archive0.wolfram.com
• References: <21038857.41440.1332916309211.JavaMail.root@m06>

Hi Guys,

Any body knows how to solve Differential Lyapunov equation

P'[x]= A P[x] + P[x] Transpose[A]+Q
where A, B, and Q square matrices?

I tried using Dsolve but apparently it doesn't solve matrix differential equation.

Thanks in advance

Regards
Obi