  A generalized Kalman-Bucy model under model uncertainty and a corresponding
robust problem are studied in this paper. We find that this robust problem is
equivalent to an estimate problem under a sublinear operator. By Girsanov
transformation and the minimax theorem, we prove that this problem can be
reformulated as a classical Kalman-Bucy filtering problem under a new
probability measure. The equation which governs the optimal estimator is
obtained. Moreover, the optimal estimator can be decomposed into the classical
optimal estimator and a term related to model uncertainty.
