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PROC

To describe sampling - reconstruction procedure (SRP) of Markov processes
the conditional mean rule is used. There are two types of stochastic
differential equations under consideration: 1) linear with varying in time
coefficients; 2) non linear coefficients. In the first Gaussian case it is
sufficiently to obtain the expression for conditional covariance function
and then to calculate the reconstruction function and the error
reconstruction function. In the case 2 it is necessary to obtain the
solution of the corresponding Fokker - Plank - Kolmogorov equation for the
conditional probability density functions (pdf). We obtain the required
conditional pdf with two fixed samples and then determine the reconstruction
function and the error reconstruction function. The jitter effect is
described by random variable with the beta-distribution. Some examples are
given.

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