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Define time increment $\mu:=t_{k+1}-t_{k}$. Consider the signal $x(\mu)-\mathbb{E}[x(\mu)]$ defined as

$x(\mu)-\mathbb{E}[x(\mu)]=\frac{1}{\mu}\int_{t_{k}}^{t_{k+1}}\int_{0}^{\tau}e^{A(\tau-\delta)}G_{c}w(\delta) d \delta d\tau$

where $A_{c}$, $G_{c}$ are constant matrices and $w(\delta)$~$N(0,Q_{c})$.

What is the variance of $x(\mu)-\mathbb{E}[x(\mu)]$?

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