Abstract
This paper presents the basic ideas of a proof of the separation theorem of stochastic control generalized to include delayed time arguments in the cost functional. The approach is based on the methods and results of least squares estimation due to Kailath. Thus the class of admissible controls is the class of stochastic integrals ∝ 0 t F(t,s)dv(s), where ν(t) is the innovations process.
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