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IMA Journal of Mathematical Control and Information 1989 6(2):167-178; doi:10.1093/imamci/6.2.167
© 1989 by Institute of Mathematics and its Applications
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Linear Filtering for Time-Delay Systems

MONIMA BRIGGS and RICHARD VINTER

Department of Electrical Engineering, University of Port Harcourt East-West Road, CHOBA, P. M.B. 5323, Port Harcourt, Nigeria
Department of Electrical Engineering, Imperial College Exhibition Road, London SW7 2BT, England

A linear filtering problem is studied in which the signal process (x(t):t ≥ 0) is described by a stochastic differential equation where time delays are present in both the noise input and the x variable. By means of a transformation new to the filtering literature, we reduce the signal equation to a delay-free stochastic evolution equation; this permits us to solve the problem by application of the theory of infinite-dimensional linear filtering.


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