Linear power filtration of nonsteady, doubly-stochastic, Gaussian noise

Optimal linear filtration of the dispersion of a nonsteady Gaussian noise, the dispersion of which is a function of an unobservable Markov control process, is considered. Discrete and continuous, first-order, autoregression models are considered, and a limiting transition is made. Tomsk State University. Translated from Izvestiya Vysshikh Uchebnykh Zavedenii, Fizika, No. 4, pp. 15–22, April, 1998.