×

zbMATH — the first resource for mathematics

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.
MSC:
93E11 Filtering in stochastic control theory
93B51 Design techniques (robust design, computer-aided design, etc.)
PDF BibTeX XML Cite