Mean-square stabilizing solutions for discrete-time coupled algebraic Riccati equations

In this paper we present new sufficient conditions for the existence of a mean-square stabilizing solution for a set of coupled algebraic Riccati equations which arises from the study of quadratic optimal control of discrete-time linear systems with Markov switching parameters. The conditions are derived under the assumptions of mean-square stabilizability and on the unobservable modes of the system and compared with existing results.