Uhm. That's not exactly a new result. See Theorem 2.7 (page 34) in [1] for the classical formulation.
If the advantage is in the notation, please enlighten me.
[1] Jazwinski, Andrew H. Stochastic Processes and Filtering Theory. Academic Press, 1970.
If the advantage is in the notation, please enlighten me.
[1] Jazwinski, Andrew H. Stochastic Processes and Filtering Theory. Academic Press, 1970.