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As usual, if \\(\\rho(t,x)\\) denotes the conditional density of the state given the observation \\(\\{y_s, s\\leq t\\}\\), the unnormalized filter \\(\\sigma(t,x)\\) satisfies the well-known Duncan-Mortensen-Zakai equation:  \\[ d\\sigma(t,x)= (L_0\\sigma)(t,x)dt + \\sum^m_{i=1} (h^i\\sigma)(t,x) dy^i_t,\\;\\sigma(0,x)= x_0, \\]  where \\(L_0={1\\over 2}\\Delta- \\sum^n_{i=1} f_i\\partial_{x_i}- \\sum^n_{i=1} {\\partial f_i\\over\\partial x_i}-{1\\over 2} \\sum^n_{i=1} h^2_i\\). The change of function \\(u(t,x)= (\\exp- \\langle h(x),y_t\\rangle) \\sigma(t,x)\\) leads to the differential equation  \\[ {\\partial u\\over\\partial t}= (L_0u)(t,x)+ \\langle y_t,[L_0, L_i]u\\rangle+{1\\over 2} \\sum^m_{i,j= 1} y^i_t y^j_t[[L_0, L_i]; L_j] u(t,x),\\;u(0,x)= \\sigma_0. \\]  This is near the generalized Kolmogorov equation. The main results are a formal solution on \\(\\mathbb{R}^n\\) of the Kolmogorov equation (integral form on \\(\\mathbb{R}^n)\\) and another solution as a convergent infinite series. So, an explicit finite sum is an approximation to the solution; the error for such an approximation is given. About finite-dimensional filters see also \\textit{V. E. 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