MathProblemsBank

15.1.23 Theory of random processes

Problem: Find the spectral density of the random function \( \xi(t) \), if \( K_{\eta \eta}(\tau)=e^{-|\tau|}: \) \[ \xi^{\prime \prime}+2 \xi^{\prime}+2 \xi=\eta^{\prime}+\eta . \]