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Optimal Estimation of a Signal Generated Using a Dynamical System Modeled with McKean–Vlasov Stochastic Differential Equations.
- Source :
-
Entropy . Jun2024, Vol. 26 Issue 6, p483. 19p. - Publication Year :
- 2024
-
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 H 2 norm setting. We adopt a Riccati-based approach in order to solve the optimal estimation problem. [ABSTRACT FROM AUTHOR]
- Subjects :
- *DYNAMICAL systems
*STOCHASTIC models
*RICCATI equation
*DIFFERENTIAL equations
Subjects
Details
- Language :
- English
- ISSN :
- 10994300
- Volume :
- 26
- Issue :
- 6
- Database :
- Academic Search Index
- Journal :
- Entropy
- Publication Type :
- Academic Journal
- Accession number :
- 178154063
- Full Text :
- https://doi.org/10.3390/e26060483