Terminal State Distribution of Continuous-Time System with Random Disturbance and Noise-Corrupted Information.

A first-order partial differential equation is derived for the cumulative distribution function of the terminal state value in a scalar linear continuous-time system with random disturbance and noise corrupted measurements. The system is subject to a saturated linear control strategy. The cumulative distribution functions of the initial state, the estimator error and the disturbance are assumed to be known. Illustrative examples are presented. [ABSTRACT FROM AUTHOR]