Mil’shtejn, G. N.; P’yanzin, S. A. A discretization method in designing an optimal filter for systems with delay. (English. Russian original) Zbl 0749.93077 Autom. Remote Control 51, No. 12, 1674-1681 (1990); translation from Avtom. Telemekh. 1990, No. 12, 84-93 (1990). The author transforms a filtration problem for finite-dimensional linear Ito equations with delay and addition white noise into a “classical” Hilbert space valued filtration problem with finite-dimensional observations. The semigroup theory of linear operators is used. Then the filter is determined by a discrete-time approximation explicitly. Reviewer: W.Grecksch (Merseburg) MSC: 93E11 Filtering in stochastic control theory 93B51 Design techniques (robust design, computer-aided design, etc.) Keywords:stochastic evolution equations; Ito equations; white noise; discrete-time approximation PDF BibTeX XML Cite \textit{G. N. Mil'shtejn} and \textit{S. A. P'yanzin}, Autom. Remote Control 51, No. 12, 1674--1681 (1990; Zbl 0749.93077); translation from Avtom. Telemekh. 1990, No. 12, 84--93 (1990)