Geodesic
On the conditional distributions of the degenerate diffusion
Teoriâ veroâtnostej i ee primeneniâ, Tome 25 (1980) no. 1, pp. 149-154

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Existence of a density $\pi_{t,s}=\mathbf P\{x_t\in dx\mid y_\tau,\tau\le s\}/dx,\quad s\le t$, for a degenerate multidimensional diffusion process $(x,y)$ as well as the analytical properties of $\pi_{t,s}$ and the filtering equations for $\pi_{t,t}$ are considered. 
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     author = {B. L. Rozovskiǐ},
     title = {On the conditional distributions of the degenerate diffusion},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {149--154},
     publisher = {mathdoc},
     volume = {25},
     number = {1},
     year = {1980},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_1980_25_1_a13/}
}
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B. L. Rozovskiǐ. On the conditional distributions of the degenerate diffusion. Teoriâ veroâtnostej i ee primeneniâ, Tome 25 (1980) no. 1, pp. 149-154. http://geodesic.mathdoc.fr/item/TVP_1980_25_1_a13/