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

Vasile Dragan and Samir Aberkane ()
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Vasile Dragan: Institute of Mathematics “Simion Stoilow” of the Romanian Academy, P.O. Box 1-764, 014700 Bucharest, Romania
Samir Aberkane: Université de Lorraine, CRAN, UMR 7039, Campus Sciences, BP 70239, 54506 Vandoeuvre-les-Nancy Cedex, France

Mathematics, 2025, vol. 13, issue 11, 1-24

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.

Keywords: H2-filtering; stochastic systems; sampled measurements; McKean–Vlasov equations; jump Riccati equations (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2025
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