Filtering, interpolation, and extrapolation of Markov chains with a continuous parameter (Q1090657)

Equations for nonlinear filtering, smoothing and prediction are given in this work; the stochastic system which is studied consists of observable and unobservable components which are jointly a continuous-time Markov process with values in a countable set. This process is not assumed to be conservative, however this aspect is not emphasized enough in the proofs. Some particular cases are developed. The literature which is cited is rather old.