Geodesic
On a filtering, interpolation and extrapolation of semi-martingales
Teoriâ veroâtnostej i ee primeneniâ, Tome 27 (1982) no. 1, pp. 24-35

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The problem of filtering of a semi-martingale is considered. The signal process is supposed to be a semi-martingale too. The integral representation of an estimate, optimal in the square mean sense, is obtained. 
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     author = {L. G. Vetrov},
     title = {On a filtering, interpolation and extrapolation of semi-martingales},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {24--35},
     publisher = {mathdoc},
     volume = {27},
     number = {1},
     year = {1982},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_1982_27_1_a2/}
}
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L. G. Vetrov. On a filtering, interpolation and extrapolation of semi-martingales. Teoriâ veroâtnostej i ee primeneniâ, Tome 27 (1982) no. 1, pp. 24-35. http://geodesic.mathdoc.fr/item/TVP_1982_27_1_a2/