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H ∞ Filtering of Mean Field Stochastic Differential Systems

Author

Listed:
  • Siqi Lv

    (School of Mathematics and Statistics, Shandong Normal University, Jinan 250358, China)

  • Ting Hou

    (School of Mathematics and Statistics, Shandong Normal University, Jinan 250358, China)

Abstract

This paper addresses the H ∞ filtering problem for mean field stochastic differential systems that involve both state-dependent and disturbance-dependent noise. We assume that the state as well as the measurement output is distracted by an uncertain exogenous disturbance. Firstly, a sufficient condition for the stochastic-bounded real lemma is given. Next, H ∞ filtering, which is built upon a stochastic-bounded real lemma, is put forward by two linear matrix inequalities. Furthermore, the validation of the theoretical analysis is demonstrated with two examples.

Suggested Citation

  • Siqi Lv & Ting Hou, 2024. "H ∞ Filtering of Mean Field Stochastic Differential Systems," Mathematics, MDPI, vol. 12(21), pages 1-10, October.
    • Handle: RePEc:gam:jmathe:v:12:y:2024:i:21:p:3329-:d:1505139
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