Geodesic
Gaussian martingales and a~generalization of the Kalman--Bucy filter
Teoriâ veroâtnostej i ee primeneniâ, Tome 20 (1975) no. 2, pp. 292-308

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The paper gives a solution of the Kalman–Bucy filtering problem in the case when the unobserved process and the observations are determined by general Gaussian processes with independent increments. 
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     author = {R. Sh. Liptser},
     title = {Gaussian martingales and a~generalization of the {Kalman--Bucy} filter},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {292--308},
     publisher = {mathdoc},
     volume = {20},
     number = {2},
     year = {1975},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_1975_20_2_a4/}
}
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R. Sh. Liptser. Gaussian martingales and a~generalization of the Kalman--Bucy filter. Teoriâ veroâtnostej i ee primeneniâ, Tome 20 (1975) no. 2, pp. 292-308. http://geodesic.mathdoc.fr/item/TVP_1975_20_2_a4/