How to generate a custom Zend filter from a regular expression

I want to realize a Zend_Filter that return the string replacing banks with underscore and remove all the characters not allowed in a regular expression.

Is that possible?

$filter = new Zend_Filter_PregReplace();
$filter->setMatchPattern(array(' ', '/regexForCaracterNotAllowed/'))
       ->setReplacement(array('_', ''));

This is how to use the Zend_Filter_PregReplace. What are the not allowed caracters?