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In the existing `direct' white noise theory of nonlinear filtering, the state process is still modelled as a Markov process satisfying an It\u00f4 stochastic differential equation (which is not robust due to the fact that the set of all possible real data has measure zero), while a `finitely additive' white noise is used to model the observation noise (which is necessarily uncorrelated with the state).   This theoretical asymmetry is now removed by modelling the state process as the solution to a (stochastic) differential equation with a `finitely additive' white noise as the input. It has been shown that the solution of such a stochastic differential equation is, indeed, a Markov process. With this formulation, the correlation between the state and observation noises is introduced in a straightforward way and the robust nonlinear filtering equation for stochastic dynamical systems with correlated state and observation noise is then obtained. 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