In this paper, the optimal filtering problem for linear systems with state and observation delays is treated proceeding from the general expression for the stochastic Ito differential of the optimal estimate, error variance, and various error covariances. As a result, the optimal estimate equation similar to the traditional Kalman-Bucy one is derived; however, it is impossible to obtain a system
... [Show full abstract] of the filtering equations, that is closed with respect to the only two variables, the optimal estimate and the error variance, as in the Kalman-Bucy filter. The resulting system of equations for determining the filter gain matrix consists, in the general case, of an infinite set of equations. It is however demonstrated that a finite set of the filtering equations, whose number is specified by the ratio between the current filtering horizon and the delay values, can be obtained in the particular case of equal or commensurable (tau = qh, q is natural) delays in the observation and state equations. In the example, performance of the designed optimal filter for linear systems with state and observation delays is verified against the best Kalman-Bucy filter available for linear systems without delays.