  We analyzed a large number of RXTE/PCA observations of Cyg X-1 in the hard
and soft spectral states with total exposure time of ~190 and ~10 ksec
respectively and time resolution better than ~250us in order to investigate its
variability down to a few milliseconds time scales. The model of modifications
of the power density spectra due to the dead time effect was tested using RXTE
observations of an extremely bright source - Sco X-1. The results of these
tests demonstrated, that although some problems still remain, for sources like
Cyg X-1 (which is an order of magnitude less bright than Sco X-1) present
knowledge of the instrument is sufficient to reliably analyze the power spectra
in the kHz frequency range.
  In both spectral states of Cyg X-1 we detected statistically significant
variability up to ~150-300 Hz with a fractional rms amplitude above 100 Hz at
the level of ~2-3%. The power spectrum in the hard state shows a steepening at
frequency of ~40-80 Hz with the power law slope changing from ~1.7 to ~2.3-2.4.
In the soft state the slope of power spectrum changes from ~1 to ~2 at the
frequency of ~15-20 Hz without any evidence of further steepening up to
\~100-150 Hz. These break frequencies represent the highest characteristic
frequencies detected in the power density spectrum of Cyg X-1 so far.
