We study cooperative output feedback tracking control of stochastic linear heterogeneous leader-following multi-agent systems. Each agent has a continuous-time linear heterogeneous dynamics with incompletely measurable state, and there are additive and multiplicative noises along with information exchange among agents. We propose the set of admissible distributed observation strategies for estimating each follower's own state and the leader's state, and the set of admissible cooperative output feedback control strategies based on the certainty equivalence principle. By output regulation theory and stochastic analysis, we show that for observable leader's dynamics and stabilizable and detectable followers' dynamics, if the product of the intensities of multiplicative measurement noises and the sum of real parts of unstable eigenvalues of leader's dynamics is less than 1/4 of the minimum non-zero Laplacian eigenvalue of the communication graph, then there exist admissible distributed observation and cooperative control strategies to ensure mean square bounded output tracking, provided the associated output regulation equations are solvable. Finally, the effectiveness of our control strategies is demonstrated by numerical simulation.
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