H ∞ Filtering of Mean Field Stochastic Differential Systems

Siqi Lv and Ting Hou ()
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Siqi Lv: School of Mathematics and Statistics, Shandong Normal University, Jinan 250358, China
Ting Hou: School of Mathematics and Statistics, Shandong Normal University, Jinan 250358, China

Mathematics, 2024, vol. 12, issue 21, 1-10

Abstract: This paper addresses the H ∞ filtering problem for mean field stochastic differential systems that involve both state-dependent and disturbance-dependent noise. We assume that the state as well as the measurement output is distracted by an uncertain exogenous disturbance. Firstly, a sufficient condition for the stochastic-bounded real lemma is given. Next, H ∞ filtering, which is built upon a stochastic-bounded real lemma, is put forward by two linear matrix inequalities. Furthermore, the validation of the theoretical analysis is demonstrated with two examples.

Keywords: H ? filtering; mean field systems; linear matrix inequalities (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2024
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