Maximum work extraction and implementation costs for nonequilibrium Maxwell's demons.

We determine the maximum amount of work extractable in finite time by a demon performing continuous measurements on a quadratic Hamiltonian system subjected to thermal fluctuations, in terms of the information extracted from the system. The maximum work demon is found to apply a high-gain continuous feedback involving a Kalman-Bucy estimate of the system state and operates in nonequilibrium. A simple and concrete electrical implementation of the feedback protocol is proposed, which allows for analytic expressions of the flows of energy, entropy, and information inside the demon. This let us show that any implementation of the demon must necessarily include an external power source, which we prove both from classical thermodynamics arguments and from a version of Landauer's memory erasure argument extended to nonequilibrium linear systems.