Abstract We address the problem of how to properly handle the application of white Gaussian process noise to a digital simulation of a continuous-time linear dynamical system, given the standard device of a Gaussian random numbers generator. Keywordsdiscrete simulationGaussian noiseGet full access to this articleView all access options for this article.Get accessReferences1. G.J. Bierman , Factorization Methods For Discrete Sequential Estimation, Academic Press, New York, 1972 pp. 17-18.2. W.E. Boyce , R.C. DiPrima , Elementary Differential Equations, John Wiley, New York, 1977, pp. 358-361.3. R.F. Stengel , Stochastic Optimal Control Theory and Application, John Wiley, New York, 1986.
