  In this paper a constructive method to determine and compute probabilistic
reachable and invariant sets for linear discrete-time systems, excited by a
stochastic disturbance, is presented. The samples of the disturbance signal are
not assumed to be uncorrelated, only a bound on the correlation matrices is
supposed to be known. The concept of correlation bound is introduced and
employed to determine probabilistic reachable sets and probabilistic invariant
sets. Constructive methods for their computation, based on convex optimization,
are given.
