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

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.

Keywords

• McKean–Vlasov stochastic differential equations
• filtering
• Riccati differential equations