Filtering Discrete-Time Systems With Multiplicative Noise In L-2 Spaces With Applications

In this work we adopt a novel formulation of the distributed parameters recursive filter for discrete-time systems evolving in L-2 spaces to widen the class of systems that can be processed by a state estimation algorithm. Starting from a rigorous definition of Kronecker algebra on L-2 spaces that involves both elements and bounded operators of L-2, we provide a computationally efficient solution in the case of linear systems with multiplicative noises. We illustrate the potential application of the approach by developing a case-study concerning the conceptual design of a distributed thermo-couple in the presence of the Nyquist-Johnson noise.