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The optimal interpolation problem is to obtain an optimal estimate \\(\\widehat Z_{s/t}\\), \\(s<t\\), of the value \\(Z_s\\) of the nonobservable process from the results of observations \\(\\{Y_u,0\\leq u\\leq t\\}\\). Efficient solutions of the problem have been obtained only for linear equations and for nonlinear equations of conditional Gaussian processes. \\textit{I. N. Sinitsyn} and \\textit{V. I. Shin} [Russ. Acad. Sci., Dokl., Math. 49, No. 3, 539-544 (1994); translation from Dokl. Akad. Nauk, Ross. Akad. Nauk 336, No. 4, 453-456 (1994; Zbl 0828.60027)] developed a theory of interpolation of random sequences defined by nonlinear stochastic difference equations. In the present paper the theory is extended to stochastic processes. Three types of interpolation problems are solved: the fixed point, fixed lag, and fixed interval interpolation. The calculation for constructing a conditionally optimal interpolator can be done before hand, during the designing of an interpolator, with the help of corresponding software, see \\textit{Pugachev} et al. [Autom. Remote Control 52, No. 1, 73-80 (1991)]. 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