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A method for single-trial dynamical estimation of event-related potentials (ERPs) is presented. The method is based on recursive Bayesian mean square estimation and the estimators are obtained with a Kalman filtering procedure. We especially focus on the case that previous trials contain prior information of relevance to the trial being analyzed. The potentials are estimated sequentially using the previous estimates as prior information. The performance of the method is evaluated with simulations and with real P300 responses measured using auditory stimuli. Our approach is shown to have excellent capability of estimating dynamic changes form stimulus to stimulus present in the parameters of the ERPs, even in poor signal-to-noise ratio (SNR) conditions.