Geodesic
Sequential estimation of diffusion processes
Teoriâ veroâtnostej i ee primeneniâ, Tome 15 (1970) no. 4, pp. 705-717

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The paper considers the sequential estimation problem for the unobservable component $\theta_t$ of a two-dimensional diffusion process $(\xi_t,\theta^t)$ satisfying (1) from the data $\xi_0^T$. By a method different to that of [1], [6], equations of optimal filtering and (forward) interpolation (Theorems 6 and 7) are obtained under essentially weaker conditions. 
@article{TVP_1970_15_4_a7,
     author = {M. P. Ershov},
     title = {Sequential estimation of diffusion processes},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {705--717},
     publisher = {mathdoc},
     volume = {15},
     number = {4},
     year = {1970},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_1970_15_4_a7/}
}
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M. P. Ershov. Sequential estimation of diffusion processes. Teoriâ veroâtnostej i ee primeneniâ, Tome 15 (1970) no. 4, pp. 705-717. http://geodesic.mathdoc.fr/item/TVP_1970_15_4_a7/