The main thesis of this paper is that there are striking similarities between the mathematical problems of stochastic system theory, notably linear and non-linear filtering theory, and mathematical developments underlying quantum mechanics and quantum field theory. Thus the mathematical developments of the past thirty years in functional analysis, lie groups and lie algebras, group representations, and probabilistic methods of quantum theory can serve as a guide and indicator to search for an appropriate theory of stochastic systems. In the current state of development of linear and non-linear filtering theory, it is best to proceed by 'analogy' and with care, since 'unitarity' which plays such an important part in quantum mechanics and quantum field theory is not necessarily relevant to linear and non-linear filtering theory. The partial differential equations that arise in quantum theory are generally wave equations, whereas the partial differential equations arising in filtering theory are stochastic parabolic equations. Nevertheless the possibility of passing to a wave equation by appropriate analytic continuation from the parabolic equation, reminiscent of the current program in euclidean field theory, should not be overlooked. (Author)