Optimal filtering and filter stability of linear stochastic delay systems

Abstract

Optimal filtering equations are obtained for very general linear stochastic delay systems. Stability of the optimal filter is studied in the case where there are no delays in the observations. Using the duality between linear filtering and control, asymptotic stability of the optimal filter is proved. Finally, the cascade of the optimal filter and the deterministic optimal quadratic control system is shown to be asymptotically stable as well.