Ornstein-Uhlenbeck power spectrum
= Ornstein-Uhlenbeck power spectrum
{c}
The stationary spectral-density matrix of $dX=-AXdt+b\,dW$ is
$$
S(\omega)=(A+i\omega I)^{-1}bb^T(A^T-i\omega I)^{-1}.
$$
= Ornstein-Uhlenbeck power spectrum
{c}
The stationary spectral-density matrix of $dX=-AXdt+b\,dW$ is
$$
S(\omega)=(A+i\omega I)^{-1}bb^T(A^T-i\omega I)^{-1}.
$$