H∞ filtering on nonlinear stochastic systems with delay

This paper is concerned with the problem of H∞ filtering for a class of nonlinear Itô stochastic systems with delay. The objective is to design such a full-order filter that the L2 gain from the exogenous input to an estimation error is minimized or guaranteed to be less or equal to a prescribed value. Sufficient conditions are obtained for the existence of desired H∞ filters, which are given in terms of the solutions to quadratic matrix inequalities involving scalar parameters. A numerical example is provided to demonstrate the effectiveness of the proposed approach.