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We consider a bilinear signal process driven by a Gauss-Markov process which is observed in additive, white, Gaussian noise. An exact stochastic differential equation for the least squares filter is derived when the Lie algebra associated with the signal process is nilpotent. It is shown that the filter is also bilinear and moreover that it satisfies an analogous nilpotency condition. Finally, some special cases and an example are discussed, indicating ways of reducing the filter dimensionality.