Here, dr~dr and dw/dt are independent, zero mean, ganssian white noise processes, with covariances I 3 ( t r ) and R ( t ) 8 ( t T), respectively. The matrix R(t) is positive definite for all t. An a priori distribution for the density of x 0 is assumed known, and it is assumed that f , G, h and R all have sufficient smoothness properties to guarantee the usual existence and uniqueness requirem...