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The associated filtering problem, i.e. the computation of the normalized filter \\(\\pi_t = E[f(X_t)\\mid Y_s, \\;s\\leq t]\\) is considered. Using a Girsanov transform and an It\u00f4 type change of variable formula for processes such as \\((X_t)_{t\\in R}\\), a formula which is analogous to the Zakai equation is derived for the unnormalized filter \\(\\sigma_t\\). However this formula is not a closed equation. In order to tackle this problem the authors suggest an infinite-dimensional approach, by considering  \\[ X^l_r(\\cdot) = x^l_0 + \\sum_{i=1}^M \\int_0^r K_H (\\cdot ,s) b^{l,i}(X_s) ds + \\int_0^r K_H (\\cdot ,s) a^{l,i} (X_s) dB^i_s  \\]  as an infinite-dimensional process indexed by \\(r\\). Existence and uniqueness results for the solution process \\((X_t)\\), as well as the change of variable formula, are proved in an 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