Optimal ℋ2 filtering for linear stochastic systems with multiplicative white noise perturbations and sampled measurements

This paper addresses the problem of optimal ℋ
₂
filtering for a class of continuous-time stochastic systems with periodic sampled measurements. The class of admissible filters consists of deterministic continuous-time periodic systems with finite jumps. The optimal solution of the considered optimization problem is obtained by integrating a suitably defined generalized continuous-time Riccati equation with finite jumps.