Filtration and prediction of random solutions of a system of linear differential equations with coefficients depending on a finite-valued Markov process

We obtain an equation of optimal filtration for processes of Markov random evolution, which is a solution of systems of linear differential equations with Markov switchings. Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 50, No. 7, pp. 997–1000, July, 1998.