We discuss a nonlinear stochastic master equation that governs the time evolution of the estimated quantum state. Its differential evolution corresponds to the infinitesimal updates that depend on the time-continuous measurement of the true quantum state. The new stochastic master equation couples to the two standard stochastic differential equations of time-continuous quantum measurement. For the first time, we can prove that the calculated estimate almost always converges to the true state, also at low-efficiency measurements. We show that our single-state theory can be adapted to weak continuous ensemble measurements as well.