Filtering partially observable diffusions up to the exit time from a domain (Q555023)

A two-component diffusion process with the second component treated as the observations of the first one is considered. The observations are available only until the first exit time of the first component from a fixed domain. Filtering equations for an non-normalized conditional distribution of the first component before it hits the boundary are derived. A formula for the conditional distribution of the first component at the first time it hits the boundary is given.