:(2) The computational aspect. The classical (more accurately, old-fashioned) view is that a mathematical problem is solved if the solution is expres… - Rudolf E. Kálmán

One should clearly distinguish between two aspects of the estimation problem:

I have been aware from the outset (end of January 1959, the birthdate of the second paper in the citation) that the deep analysis of something which is now called were of major importance. But even with this immodesty I did not quite anticipate all the reactions to this work. Up to now there have been some 1000 related publications, at least two Citation Classics, etc. There is something to be explained.
To look for an explanation, let me suggest a historical analogy, at the risk of further immodesty. I am thinking of Newton, and specifically his most spectacular achievement, the law of Gravitation. Newton received very ample "recognition" (as it is called today) for this work. it astounded - really floored - all his contemporaries. But I am quite sure, having studied the matter and having added something to it, that nobody then (1700) really understood what Newton's contribution was. Indeed, it seemed an absolute miracle to his contemporaries that someone, an Englishman, actually a human being, in some magic and un-understandable way, could harness mathematics, an impractical and eternal something, and so use mathematics as to discover with it something fundamental about the universe.

A of the Riccati type is derived for the covariance matrix of the optimal filtering error. The solution of this 'variance equation' completely specifies the optimal filter for either finite or infinite smoothing intervals and stationary or non-stationary statistics. The variance equation is closely related to the Hamiltonian (canonical) differential equations of the calculus of variations. Analytic solutions are available in some cases. The significance of the variance equation is illustrated by examples which duplicate, simplify, or extend earlier results in this field. The duality principle relating stochastic estimation and deterministic control problems plays an important role in the proof of theoretical results. In several examples, the estimation problem and its dual are discussed side-by-side. Properties of the variance equation are of great interest in the theory of s. Some aspects of this are considered briefly.