Regularization and digital simulation of the Kalman–Bucy filter for systems where the observations are contaminated with singular noise

The Kalman–Bucy filter is digitally approximated for systems where the observations are contaminated with singular noise and the approximation accuracy is estimated. Advice is given on choice of the step in quantifying the digital simulation step so as to regularize satisfactorily the singular Kalman-Bucy filter. Some results of numerical experiments are given.