Before revision:  This paper presents a simple and general method to compute the covariance matrix of the state though a matrix Lyapunov differential equation, and discusses its numerical and analytical solutions . In terms of computational speed, the latter is found to be 30 to 40 times faster .
After revision:  This paper presents a simple and general method to compute the covariance matrix of the state though a matrix Lyapunov differential equation, and discusses its numerical and analytical solutions .