Exact calculations of discrete-time process noise statistics for hybrid continuous/discrete time applications

Discrete-time models of continuous-time plants are commonly required due to the popular use of computers to implement control and estimation algorithms. When stochastic design techniques are utilized, it is necessary to determine the equivalent discrete-time process noise statistics from the continuous-time process noise statistics. Several references on the object of discrete-time control and estimation present approximate solutions for the necessary transformation; in this paper exact solutions are discussed.>