  A partially observed jump diffusion $Z=(X_t,Y_t)_{t\in[0,T]}$ given by a
stochastic differential equation driven by Wiener processes and Poisson
martingale measures is considered when the coefficients of the equation satisfy
appropriate Lipschitz and growth conditions. Under general conditions it is
shown that the conditional density of the unobserved component $X_t$ given the
observations $(Y_s)_{s\in[0,T]}$ exists and belongs to $L_p$ if the conditional
density of $X_0$ given $Y_0$ exists and belongs to $L_p$.
