Stochastic Analysis Seminar on Filtering Theory
  These notes were originally written for the Stochastic Analysis Seminar in the Department of Operations Research and Financial Engineering at Princeton University, in February of 2011. The seminar was attended and supported by members of the Research Training Group, with the author being partially supported by NSF grant DMS-0739195. 
Andrew Papanicolaou
q-fin.MF math.PR