ABSTRACT
Another important and commonly used class of systems is the class of continuous-time linear systems. The models are assumed to evolve in continuous time rather than discrete time because this assumption is natural for many models and it is important for the study of discrete-time models when the sampling rates are large and for the analysis of numerical round-off errors. The stochastic systems are described by linear stochastic differential equations. It is assumed that there are complete observations of the state.
