Optimal Filtering : Volume I: Filtering of Stochastic Processes : Springer : 9789401062381 : 9401062382 : 10 Oct 2012 : This book is devoted to an investigation of some important problems of mod­ ern filtering theory concerned with systems of 'any nature being able to per­ ceive, store and process an information and apply it for control and regulation'. (The above quotation is taken from the preface to [27]). Despite the fact that filtering theory is l'argely worked out (and its major issues such as the Wiener-Kolmogorov theory of optimal filtering of stationary processes and Kalman-Bucy recursive filtering theory have become classical) a development of the theory is far from complete. A great deal of recent activity in this area is observed, researchers are trying consistently to generalize famous results, extend them to more broad classes of processes, realize and justify more simple procedures for processing measurement data in order to obtain more efficient filtering algorithms. As