## Robust Kalman filtering for continuous-time systems with discrete-time measurements.(English)Zbl 0936.93048

The paper considers linear stochastic systems with continuous-time state dynamics and discrete-time observation process. The filtering problem for the case of time-varying norm bounded parameter uncertainties in the state matrix is studied. A robust Kalman filtering algorithm is proposed which guarantees a bound for the estimation error covariance which is uniform in the parameter uncertainties. A necessary and sufficient condition for the existence of the Kalman filter for discrete-time observations is also provided.