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Intuitively, the sequence \\(\\{Y_{t_k}\\}\\) represents discrete observations of the It\u00f4 process  \\[ Y(\\omega, t)= \\mu\\int^t_0 X(\\omega,s) ds+\\sigma_BB(\\omega, t), \\]  where \\(B\\) is a standard Wiener process independent of \\(X\\). It can in fact be shown that \\(Y\\) is the limit, in the appropriate sense, as \\(\\Delta\\) goes to \\(0\\), of the process \\(Y^\\Delta\\) defined by the relationship:  \\[ Y^\\Delta(\\omega, t)= \\sum^\\infty_{k=1} I_{[t_{k-1}, t_k[}(t) Y_{t_{k-1}}(\\omega). \\]  It turns out that \\(\\widehat X(\\omega,t)= E[X(\\cdot,t)\\mid \\sigma_t(Y)]\\) has a functional representation in the form of \\(\\widehat X(\\omega, t)= \\Phi(Y(\\omega,\\cdot), t)\\), where \\(\\Phi\\) can be computed for arguments in \\(D[\\mathbb{R}_+]\\). So one can set \\(\\widehat X^\\Delta(\\omega, t)= \\Phi(Y^\\Delta(\\omega,\\cdot), t)\\), for which  \\[ \\lim_{\\Delta\\to 0} E[(X(\\cdot, t)- \\widehat X^\\Delta(\\cdot, t))^2]= P(t)= E[(X(\\cdot, t)- \\widehat X(\\cdot,t))^2]. \\]  Of course, in ``practice'', one can only hope to compute \\(\\widetilde X^\\Delta(\\omega, t)= E[X(\\cdot, t)\\mid \\sigma_t(Y^\\Delta)]\\). But, if one assumes that \\(B_1\\) has a density \\(f_B\\) with finite Fisher information, there are two closely related It\u00f4 processes, \\(Z\\) and \\(\\widehat Z\\), such that \\(\\widetilde X^\\Delta(\\cdot, t)\\) converges in law, as \\(\\Delta\\) goes to \\(0\\), to  \\[ E[X(\\cdot, t)\\mid \\sigma_t(Z)\\vee \\sigma_t(\\widetilde Z)]\\equiv E[X(\\cdot, t)\\mid \\sigma_t(\\widetilde Z)]. \\]  One then has that  \\[ \\lim_{\\Delta\\to 0} E[(X(\\cdot, t)- \\widetilde X^\\Delta(\\cdot, t))^2]= \\widetilde P(t)= E[(X(\\cdot, t)- E[X(\\cdot, t)\\mid \\sigma_t(\\widetilde Z)])^2], \\]  and furthermore that \\(P(t)>\\widetilde P(t)\\), \\(t>0\\). The aim of the paper is to provide a filter for which \\(\\widetilde P(t)\\) is asymptotically attainable. That requires the following assumptions. Set \\(\\varphi_B= -f_B'/f_B\\). \\(f_B\\) must be twice continuously differentiable, \\(\\varphi_B'\\) must be well defined and satisfy a linear growth condition, and finally one must have \\(E[\\varphi^2_B(B_1)]< \\infty\\)! The results of some simulations for \\(f_B\\) a normal mixture are 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