Avedʹyan، نويسنده , , Eduard D. and Tsypkin، نويسنده , , Yakov Z. and Bittanti، نويسنده , , Sergio، نويسنده ,
In this paper we consider a dynamical system with a state and an output disturbances which are Brownian motions. Two solutions to the problem of state estimation from output observations are proposed. The first one is based on the augmented state approach and the second is based on the prefiltering approach. The performance obtained is illustrated by some theoretical and simulation results.