Bounds on the solution of the time-varying linear matrix differential equation P(t) = AH(t) P(t) + P(t) A(t) + Q(t)

^** Email: pagilla{at}ceat.okstate.edu We derive upper and lower bounds for the trace of the solutionof the time-varying linear matrix differential equation (t)= A^H(t) P(t) + P(t) A(t) + Q(t). A practical numerical exampleis given to verify the bounds. The bounds obtained are usefulsince the considered equation is encountered in a number ofapplications in systems and control theory.