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If f, F are piecewise constant, \\(H=I\\) and with Gaussian initial conditions, it was shown by \\textit{G. B. Di Masi}, \\textit{M. Pratelli} and \\textit{W. J. Runggaldier} [Stochastics 14, 247-271 (1985; Zbl 0566.60046)] that the conditional density of \\(\\theta_ t\\) is a linear combination of fixed Gaussian densities the coefficients of which can be computed in a recursive form. This work is concerned with a generalization to piecewise linear nonlinearities (f and h piecewise linear, F and H piecewise constant); in two cases, namely if f is piecewise constant or \\(F=0\\), the same conclusion is proved to hold, except that the Gaussian densities now depend on the observation; the recursive formulae involve the computation of integrals on the regions of 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