Optimal Estimation of a Signal Generated Using a Dynamical System Modeled with McKean–Vlasov Stochastic Differential Equations-Reference-Cited by-同舟云学术

Optimal Estimation of a Signal Generated Using a Dynamical System Modeled with McKean–Vlasov Stochastic Differential Equations

Published:2024-05-31 Issue:6 Volume:26 Page:483
ISSN:1099-4300
Container-title:Entropy
language:en
Short-container-title:Entropy

Author:

Dragan Vasile¹²,Aberkane Samir³⁴^ORCID

Affiliation:

1. Institute of Mathematics “Simion Stoilow” of the Romanian Academy, P.O. Box 1-764, RO-014700 Bucharest, Romania

2. Academy of Romanian Scientists, 3 Ilfov, 050044 Bucharest, Romania

3. Institute of Mathematics of the Romanian Academy, CRAN, UMR 7039, Campus Sciences, BP 70239, VandÏuvre-les-Nancy CEDEX, 54506 Nancy, France

4. CNRS, CRAN, UMR 7039, 54500 Nancy, France

Abstract

We consider, in this paper, the problem of state estimation for a class of dynamical systems governed via continuous-time McKean–Vlasov stochastic differential equations. The estimation problem is stated and solved under an H2 norm setting. We adopt a Riccati-based approach in order to solve the optimal estimation problem.

Publisher

MDPI AG

Link

https://www.mdpi.com/1099-4300/26/6/483/pdf

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