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The equation (1) can be writen as follows \\(dX(t)=AX(t)dt+\\sigma\\ell_ pdw(t)\\), where  \\[ A=\\begin{pmatrix} 0&1&0&\\dots&0\\\\ \\cdot&\\cdot&\\cdot&\\cdots&\\cdot\\\\ 0&0&0&\\ldots&1\\\\ -a_ p&-a_{p- 1}&a_{p-2}&\\dots&-a_ 1\\end{pmatrix},\\qquad e_ p=\\begin{pmatrix} 0\\\\ \\vdots\\\\ 0\\\\ 1\\end{pmatrix}. \\]  It is shown, that the connection between \\(A\\), \\(\\sigma\\) and the covariance \\(p\\times p\\)-matrix \\(Q\\) is determined by the correlation (2) \\(AQ+QA'==\\sigma^ 2\\ell_ p\\ell_ p'\\), where prime denotes the transpose. The equation (2) may be written in scalar form as follows (3) \\(Q_{i+1,j}+Q_{i,j+1}=0\\), \\(i,j=0,\\dots,p-1\\), (4) \\(\\sum^ p_{j=0}a_ jQ_{p-j,p-k}=0\\), \\(k=2,\\dots,p\\), (5) \\(\\sum^ p_{j=1}a_ jQ_{p-j,p-1}=\\sigma^ 2/2\\). 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