LINEAR-SYSTEMS WITH RANDOMLY INTERRUPTED GAUSSIAN WHITE-NOISE

A linear process driven by additive Gaussian white noise, which is ran domly interrupted by an exponentially correlated two-state {0, 1} Mark ovian stochastic process, is considered. A characteristic function of the process is obtained using an approach based on conditional functio nals for Markov processes. A single-event time dependent probability d istribution is presented. Steady states are analysed in terms of stati onary distributions and moments of the process. The deviation from Gau ssianity (kurtosis) is investigated.