The general solution to a second order optimal filtering problem
Robert A. Nash · Proceedings of the IEEE · 1967
The author considers a e linear time-invariant second order dynamical system resulting in equations representing a first order lag followed by an integrator. The observed output is the output of the integrator corrupted by white noise. The problem is to find the best estimate in the mean square sense of x(t) given Z(τ) for τ between 0 and 1.