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

Discrete-time models of continuous-time plants are commonly required owing to the popular use of computers to implement control and estimation algorithms. When stochastic design techniques such as the discrete-time Kalman filter are utilized, it is necessary to determine the equivalent discrete-time process noise statistics from the continuous-time process noise statistics. Herein we present a new solution for the required transformation.