Control, Stability and Filter for a Discrete Linear Stochastic System with Correlated Noise.

FOR A DISCRETE STATIONARY STOCHASTIC LINEAR SYSTEM WITH CORRELATED NOISE WE SHOW THE EXISTENCE OF A LINEAR CONTROL WHICH LEADS TO AN EQUIVALENT MODEL WITH UNCORRELATED NOISE WITHOUT MODIFYING THE STA- BILITY OF THE SYSTEM. UNDER THE HYPOTHESIS OF CORRELATED NOISE THE GAIN OF THE KALMAN FILTER AND THE SOLUTION OF THE RIC- CATI EQUATION ARE DETERMINATED.NA-NOT AVAILABL