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Let \\(\\rho(t,x)\\) denote the conditional probability density of the state process according to the observations \\({y(s): 0 \\leq s\\leq t}\\). Then \\(\\rho(t,x)\\) is given by normalizing a function, \\(\\sigma(t,x)\\), which satisfies the Duncan-Mortensen-Zakai (DMZ) parabolic partial differential equation. The authors describe their algorithm that permits to solve a robust DMZ equation in real time and in a memoryless manner for any filtering system with arbitrary initial distribution. They solve the DMZ equation with ``freezed'' observation and demonstrate that the solution to the robust ``freezed'' equation approximates very well the solution to the original robust equation both pointwise and in an \\(L^2\\)-sense. Unlike the classical Kalman-Bucy case, which requires the real time solution of a system of ordinary differential equations, the authors' solution to the general nonlinear filtering problem does not need any on-line computation and requires only the knowledge of the observation at time 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