Filtering of processes with independent increments (Q1066549)

Let \(\{\) \(\theta\) (t),\(\xi\) (t)\(\}\), \(t\geq 0\), be a partially observed random process, where \(\theta (t)=a\eta_ 1(t)+\eta_ 2(t)\), \(\xi (t)=b\eta_ 1(t)+\eta_ 2(t)\) and \(\eta_ i(t)\), \(i=1,2\) are some random processes with independent increments. The values \[ m(t)=E\{\theta (t)| {\mathcal F}_ t\}\quad and\quad \gamma (t)=E\{(\theta (t)-m(t))^ 2| {\mathcal F}_ t\} \] are calculated, where \({\mathcal F}_ t=\sigma \{\xi (s)\), \(0\leq s\leq t\}\).