The resolution of the differential Lyapunov matrix equations using Rosenbrock method

The resolution of the differential Lyapunov matrix equations

\(\begin{equation}\label{1} \left\{ \begin{array}{ll} \dot{X}(t)=AX(t)+X(t)A^T+B,& \hbox{} \\ X(t_{0})=X_{0}, & t\in[t_{0},T_{f}], \end{array} \right. \end{equation}\)    où   \(A\in\mathbb{R}^{n\times n}, B\in\mathbb{R}^{n\times n},\)

using Rosenbrock method

 Author                 :  LAKHLIFA SADEK.

  E-mail: lakhlifasdek@gmail.com; sadek.l@ucd.ac.ma