New estimation algorithms for nonlinear continuous systems with multiple delays

New estimation algorithms have been derived for nonlinear continuous-time systems with multiple delays corrupted by white noise and correlated noise. The derivation assumes linearity in innovations and exploits some recent results of nonlinear continuous-time systems to obtain the filtering and error-covariance equations. The results are recursire and physically realizable under the assumption that the conditional probability density functions of the estimator errors are Gaussian.