TheLinear systemscontinuous main purpose of this chapter is to analyze how the properties of continuous-time stochastic processes change when they are filtered by a linear continuous-time system. The tools to analyze the properties of a such system with random excitation are given. The two models that are equivalent, named input–output, or transfer function model, and space-state model are utilized to generate the continuous-time stochastic process with specified characteristics. The proposed approach may be used to analyze the effect of wide class of random disturbances on a linear continuous-timeSystemcontinuous-time dynamic system. The analysis is completely analogous to the discrete-time case treated in Chap. 3 . Some tools to eliminate effectively the effect of random disturbances on a system parameters and/or state estimation are presented in the next chapters.