Difference between the steady state of a model and state space models? A model is said to be represented in state space form if it can be written as
$$Y_t = G_t X_t + W_t$$
where $$X_t =F_t X_{t-1} + V_t $$
and $W_t,V_t$ are some kind of random noise.
The steady state instead is written as 
$$Y_t = G_t X_{t|t-1} + W_t$$
where 
$$ X_{t+1|t} = F_t X_{t|t-1} + V_t $$
This should remind me that we are using the information up to time $t-1$ to find $Y_t$, but is this not true even for a model in state space form? What is the true difference here?
 A: State space form originated in control theory.  There, the usual representation is similar to that shown in your first two equations, with additional terms for controller outputs that are inputs to the process. The equation propagating the state X from the previous state is called the state equation (your second equation), and the relationship of the measurement Y to the state is called the measurement equation (your first equation). (There are differences from the above in how the equations are typically written.  By convention, V is the measurement noise and W is the process noise, the opposite of what's shown above.  And the matrix shown as G above is, by convention, called H.  But none of that matters other than avoiding confusion in discussions with others.)  X is an internal representation.  Y is what is measured.  One typical goal, as in the case of Kalman filtering, is to take the measurements Y, and estimate the state X. The emphasis on estimating the state X is because with the state equation, predictions about the future can be made, and hence predictions of Y follow as well. 
The system representation does not change when the system happens to achieve a steady state.   
At steady state, by definition, the state X is not changing over time.  That implies that F cannot not be changing over time either, because if F were to change, then X would have to change by the state equation.  Subscripts referencing time are not relevant when solving for steady state solutions. So, at steady state, the state equation equation just reduces to 
 X = FX
(At a steady state, the process noise would have to be zero as well, otherwise by the state equation, process noise would change X).  
For a useful steady state solution, you normally have another set of inputs, as is typical for process control.  Otherwise you're left with the only solutions being X = 0, unless F is the identity matrix. 
Normal definitions of a steady state system would include that the entire system is not changing, so that the measurement matrix (G in your notation) should be constant as well.  I suppose that if you're differentiating a steady state system from a steady state X, then you could allow the measurement matrix to change over time.  But your first equation still wouldn't change.  
If I'm understanding your third equation, it says that Y at time t depends on X at time t, given the X values up to time t-1.  The reference to t-1 is not needed there, whether at steady state or not. (With a similar comment about t+1|t and t|t-1 in the fourth equation).  In state space representation, X always incorporates all previously known information --- the "t-1" is implied. Also, the state equation also allows you to always predict forward in time as far as you want, in terms of expected value (that is, assuming no process noise). Similarly, if F is invertible, you can reconstruct previous states (assuming no process noise). These issues are central to state space representation and its applications, because it means that for instance, for estimation, you never need to look backward further in time once you have an estimate of X at some time t.   
So, in short, the third and fourth equations aren't needed, and the t|t-1 references aren't needed, if you're just talking about state space representation.  
Sometimes you see references like the t|t-1 when looking at particular estimation solutions.  For instance, Kalman filtering has two steps:  a prediction from the previous state just using the state equation (ignoring measurements), and then a correction step that accounts for the measurements, balancing the measurement noise against the process noise.  When differentiating between those two steps, sometimes that sort of notation is used to distinguish the intermediate prediction from the final result.  
But all of that is a separate issue from making a steady state assumption.  
