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En supposant qu'il existe une partition finie de \\(\\mathbb{R}^ n = \\bigcup^ l_{i = 1} \\Theta_ i\\), et que les restrictions, sur chaque \\(\\Theta_ i\\), des applications continues \\(b\\) et \\(h\\) sont affines et celles de l'application \\(\\sigma\\) mesurable constantes, l'auteur propose l'algorithme de filtrage suivant: On calcule les filtres ``lin\u00e9aires'' de Kalman-Bucy en parall\u00e9le et on utilise deux tests pour d\u00e9cider quel filtre de Kalman-Bucy suivre et durant quel p\u00e9riode. 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