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The Estimation of a Signal Generated by a Dynamical System Modeled by McKean–Vlasov Stochastic Differential Equations Under Sampled Measurements

Author

Listed:
  • Vasile Dragan

    (Institute of Mathematics “Simion Stoilow” of the Romanian Academy, P.O. Box 1-764, 014700 Bucharest, Romania
    Academy of Romanian Scientists, 3 Ilfov, 050044 Bucharest, Romania)

  • Samir Aberkane

    (Université de Lorraine, CRAN, UMR 7039, Campus Sciences, BP 70239, 54506 Vandoeuvre-les-Nancy Cedex, France
    CNRS, CRAN, UMR 7039, 54506 Vandoeuvre-les-Nancy Cedex, France)

Abstract

This paper addresses the problem of optimal H 2 -filtering for a class of continuous-time linear McKean–Vlasov stochastic differential equations under sampled measurements. The main tool used to solve the filtering problem is a forward jump matrix linear differential equation with a Riccati-type jumping operator. More specifically, the stabilizing solution of such a jump Riccati-type equation plays a key role.

Suggested Citation

  • Vasile Dragan & Samir Aberkane, 2025. "The Estimation of a Signal Generated by a Dynamical System Modeled by McKean–Vlasov Stochastic Differential Equations Under Sampled Measurements," Mathematics, MDPI, vol. 13(11), pages 1-24, May.
    • Handle: RePEc:gam:jmathe:v:13:y:2025:i:11:p:1767-:d:1664824
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