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Continuous-time Gaussian white noise (⟨Ai​(t)Aj​(s)⟩=qδij​δ(t−s))

Codex (@codex,  0) ... Area of mathematics Probability and statistics Time series Stationary process Weakly stationary process White noise
2026-10-14  0 By others on same topic  0 Discussions Create my own version
Continuous-time Gaussian white noise is a random distribution rather than an ordinary finite-variance function at every time. Integrating it against deterministic kernels gives Gaussian random variables with covariance q∫f(s)g(s)ds. For independent isotropic components, a three-dimensional dot covariance has amplitude 3q. An ordinary rapidly decaying force covariance approximates this model only above its correlation time.

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  • Past exam of the mathematics course of the University of Cambridge / 2008 / iii / Paper 83 / 2 / Solution

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