Before revision:  The special feature is that the only information available to the investor is the one generated by the asset prices and, in particular, the return processes cannot be observed directly and assumed to be modelled by a stochastic differential equation. Using stochastic non-linear filtering and change of measure techniques, the partial observation context can be transformed into a full information context such that coefficients depend only on past history of observed prices (filters processes).
After revision:  The special feature is that the only information available to the investor is the one generated by the asset prices and, in particular, the return processes cannot be observed directly and assumed to be modelled by a stochastic differential equations. Using the change of measure techniques, the partial observation context can be transformed into a full information context such that coefficients depend only on past history of observed prices (filters processes).