Abstract: Comparisons are made by digital simulation between the open loop and closedloop identifications under four different experimental conditions in linear discretest ochastic system with single input and single output.The result shows that the experimental condition with controller output disturbedby a pseudo-random binary signal is quite suitable for the closed loop identificationof real processes.The accuracy of the process model thus obtained by closed loopidentification is close to that by open loop identification.A laboratory heat exchanger has been identified by both methods.The result justifies that of the simulation.