The Imaam remembered he had not prayed the 'Asr prayer
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The Imaam led the Maghrib prayer and during the prayer he remembered he had not prayed the 'Asr prayer, so what should he do?
This Imaam, who forgot the 'Asr prayer and began the Maghrib prayer and thereafter remembered during the prayer he had not prayed [the] 'Asr [prayer] should continue with the Maghrib prayer. Upon completing the [Maghrib] prayer he should [then] perform the 'Asr prayer and in this situation his 'Asr prayer will be correct.
This ruling is general, even if one was praying alone, because if a person begins an obligatory prayer then he is required to complete it unless he has an Islaamically acceptable reason not to do so.
Shaykh Ibn 'Uthaymeen
I'laam al-Mu'aasireen bi-Fataawa Ibn 'Uthaymeen - Page 47