Application of optimal nonlinear filtering equations to some problems in control theory and information theory

  • R. S. Liptser
  • A. N. Shiryayev
Part of the Applications of Mathematics book series (SMAP, volume 6)


In this section the results obtained in Section 14.3 for linear control problems (using incomplete data) with quadratic performance index are extended to the case of continuous time.


Entropy Covariance 


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Notes and references

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Copyright information

© Springer Science+Business Media New York 1978

Authors and Affiliations

  • R. S. Liptser
    • 1
  • A. N. Shiryayev
    • 2
  1. 1.Institute for Problems of Control TheoryMoscowUSSR
  2. 2.Institute of Control SciencesMoscowUSSR

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