“…From the applications point of view, closed form expressions for the solution to the Zakai equation are certainly desirable; however, as pointed in [1] only few particular cases of (1.1) allow for explicit computations. The important issue of deriving simple approximation schemes for the solution to (1.1) have been considered in [2] and [8] which employ splitting up methods and time discretization, respectively; Wong-Zakai-type results were investigated in [5] and [12] while [4] and [19] proposed a Wiener chaos approach. We also mention the so called pathwise filtering that steams from the problem of having a robust, with respect to the observation process, filter; this has been discussed in [6] and [7].…”