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MR674341 (84h:93070) 93E11
Pardoux, E. Nonlinear filtering, prediction and smoothing. Stochastic systems: the mathematics of filtering and identification and applications (Les Arcs, 1980), pp. 529--557, NATO Adv. Study Inst. Ser. C: Math. Phys. Sci., 78, Reidel, Dordrecht-Boston, Mass., 1981.
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