Ellipsoidal filtering of an infinite-dimensional process over vector discontinuous observations

Presents the ellipsoidal filtering problem for a state of an infinite-dimensional dynamic system over vector discontinuous observations. The validity of the ellipsoidal filtering equations is stated in the case of existence of the unique solution, as well as if the optimal solution is obtained as the result of additional optimization over a set of solutions. The paper completes the investigation of the infinite-dimensional ellipsoidal filtering problem, which was initiated in Basin (1997)