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A new nonlinear filter is derived for continuous-time processes with discrete-time measurements. The filter is exact, and it can be implemented in real time with a computational complexity that is comparable to the Kalman filter. This new filter includes both the Kalman filter and the discrete-time version of the Benes filter as special cases. Moreover, the new theory can handle a large class of nonlinear estimation problems that cannot be solved using the Kalman or discrete-time Benes filters. A simple approximation technique is suggested for practical applications in which the dynamics do not satisfy the required conditions exactly. This approximation is analogous to the so-called "extended Kalman filter" , and it represents a generalization of the standard linearization method.