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 ()
Additional contact information
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
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2227-7390/13/11/1767/pdf (application/pdf)
https://www.mdpi.com/2227-7390/13/11/1767/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jmathe:v:13:y:2025:i:11:p:1767-:d:1664824

Access Statistics for this article

Mathematics is currently edited by Ms. Emma He

More articles in Mathematics from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().