Abstract: In the case of unknown control vectors, unknown distribution and parameters of system state and that of stochastic interference existing in stochastic system, based on posterior ellipsoids approximation principle, an ellipsoids conditional filtering method of stochastic system is developed in this paper to ensure that the soluted ellipsoids sequence is the minimum ellipsoids sequence consisting of system state estimation field. This method is one of the effective ways in solving state statistics of stochastic system when the prior statistics information is not enough.