This paper addresses the problem of optimal H2-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… Click to show full abstract
This paper addresses the problem of optimal H2-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:
differential equations;
sampled measurements;
equations sampled;
mckean vlasov;
vlasov stochastic;
stochastic differential
Journal Title: Mathematics
Year Published: 2025
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Journal Title: Mathematics
Year Published: 2025
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!