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Sensitivity with respect to the model for the filter of this system is studied. For this end, the filters of two similar systems are compared. The authors compute a bound for the distance in the so-called bounded Lipschitz metric between the two filters. As an application a filter \\(\\pi_t^\\varepsilon\\) is constructed, which converges to the filter \\(\\pi_t\\) and has discrete support. The results are based on a coupling technique. Similar results for the case where \\(X_t\\) takes values in a discrete state space have been given by the authors [Stochastics Stochastics Rep. 57, No. 1/2, 71-87 (1996; Zbl 0897.60046) and ibid. 61, No. 1/2, 1-19 (1997; Zbl 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