Stochastic model of optimal dynamic measurements

Under consideration is the stochastic model of optimal dynamic measurements. To solve this problem, the theory of optimal dynamic measurements which has actively been developing for the deterministic problems is extended to the stochastic case. The main purpose of the model is to restore a dynamically distorted input signal from a given observation using methods of the theory of dynamic measurements and the optimal control theory for Leontief type systems. Based on the results obtained by the authors earlier it is shown that optimal dynamic measurement as a minimum point of the cost functional doesn't depend on stochastic interference such as resonances in chains and random interference at the output of measuring transducer.