Abstract
An optimal linear filtration problem is considered in the paper based on Kalman-Bucy results. The sequential linear regression method being a modification of fundamental Wiener results is used.
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Bereza, V.Y., Yasinskii, V.K. The Kalman-Bucy Filter for Linear Stochastic Dynamic Systems with Discontinuous Trajectories. Cybernetics and Systems Analysis 39, 235–245 (2003). https://doi.org/10.1023/A:1024739206442
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DOI: https://doi.org/10.1023/A:1024739206442