Robust H_∞ filtering of stochastic uncertain systems

The robust H-∞ estimation under parametric and stochastic uncertainties was studied. It was assumed that the uncertain parameter was norm bounded, the exogenous disturbance was stochastic uncertain and the systems were expressed by It's stochastic differential equations. The H-∞ filtering was constructed via solving a linear matrix inequality, and an example was presented to illustrate the developed theory.