A simple proof for the Kalman-Bucy smoothed estimate formula (Q689529)

The author considers an inhomogeneous Kalman-Bucy filtering system \((X,Y)\) where the signal process \(X\) and the observation process \(Y\) are one-dimensional. Using a method introduced by \textit{A. Le Breton} and \textit{M. Musiela} [see C. R. Acad. Sci., Paris, Sér. I 307, No. 1, 47-50 (1988; Zbl 0642.60027)] he gives a very simple proof for the smoothed linear estimate formula.