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Advise me please some book on algebraic and differential Riccati equations: I'm interested in such questions as theorems of existence, uniqueness and extendibility of solutions of differential equation, explicit formulas for solutions and in related questions.

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    Have you had a look at the references in the Wikipedia article? I can recommend Ince's book in particular. Since I don't have the book in front of me at the moment, I can't say whether it covers all of the topics you're interested in.2012-05-31
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    What do you mean by "algebraic Ricatti equation"? I know it as a differential and as a difference equation, but not algebraic.2013-01-24
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    @vonbrand http://en.wikipedia.org/wiki/Algebraic_Riccati_equation2013-01-24

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