An innovation approach to H_∞prediction for continuous-time systems with application to systems with delayed measurements

This paper studies the problem of H∞prediction for linear continuous-time systems. By developing a new method of characterizing the innovation process and applying a novel innovation analysis approach in Krein space, a necessary and sufficient condition for the existence of a finite horizon H∞predictor is derived. The solution to the H∞prediction is given in terms of solutions of Riccati and matrix differential equations. We further extend our study to give a necessary and sufficient condition for the H∞filtering of linear continuous-time systems with both instantaneous and delayed measurements.