Geodesic
Some explicit formulas for calculation of conditional mathematical expectations of random variables and their applications
Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 5 (2010), pp. 10-15

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For a couple of linear stochastic differential equations describing the behavior of two random values we solve a problem of finding the mean of one of them when the second one is fixed. We present examples from the financial mathematics where the formulas obtained here are used. 
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     author = {G. S. Kambarbaeva},
     title = {Some explicit formulas for calculation of conditional mathematical expectations of random variables and their applications},
     journal = {Vestnik Moskovskogo universiteta. Matematika, mehanika},
     pages = {10--15},
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G. S. Kambarbaeva. Some explicit formulas for calculation of conditional mathematical expectations of random variables and their applications. Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 5 (2010), pp. 10-15. http://geodesic.mathdoc.fr/item/VMUMM_2010_5_a1/