The Estimation of a Signal Generated by a Dynamical System Modeled by McKean–Vlasov Stochastic Differential Equations Under Sampled Measurements

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.