Lily was seen in Vancouver filming scenes with actor Christopher Plummer, and Heath's role is set to be filled by three A-list stars; Jude Law, Colin Farrell and Johnny Depp
Heath Ledger seen last month filming in London with Lily Cole days before his tragic death
According to Jude Law's spokeswoman, Law, Colin Farrell and Johnny Depp will play the role of Ledger's character, Tony, in the film, subject to negotiation.
Farrell said it was a hard decision to agree to complete Ledger's character Tony in the film, but said that he would "be honoured to be part of that".
He told an Australian newspaper: "It makes me feel uncomfortable to think about it too much and to get into it really here but it's an incredibly painful honour to have, you know, and an honour I wish wasn't bestowed but an honour none-the-less."
"It's about getting Heath's work out there, get his work out there, he's too good for any of his work not to be seen, you know, and I'm really keen and looking forward to doing it and just doing the best job I can do."
It is thought Gilliam, who previously worked with Ledger on The Brothers Grimm, wants to retain the footage shot of the late actor.
Ledger died on January 22 from an accidental prescription drug overdose. He had just finished shooting a third of the movie in London and was about to begin a 40-day shoot in Vancouver, Canada.