Geodesic
On linearization of stochastic differential equations of optimal
Teoriâ veroâtnostej i ee primeneniâ, Tome 25 (1980) no. 2, pp. 399-407

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Some questions related to the general equations of optimal non-linear filtering may be answered by reducing this equations to the linearized ones. We obtain such linearized equations for the case when the observed process is a semimartingale. 
@article{TVP_1980_25_2_a18,
     author = {L. G. Vetrov},
     title = {On linearization of stochastic differential equations of optimal},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {399--407},
     publisher = {mathdoc},
     volume = {25},
     number = {2},
     year = {1980},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_1980_25_2_a18/}
}
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L. G. Vetrov. On linearization of stochastic differential equations of optimal. Teoriâ veroâtnostej i ee primeneniâ, Tome 25 (1980) no. 2, pp. 399-407. http://geodesic.mathdoc.fr/item/TVP_1980_25_2_a18/