A stochastic process $ X ( t) $
such that the limit
exists; it is called the derivative of the stochastic process $ X ( t) $. One distinguishes between differentiation with probability $ 1 $ and mean-square differentiation, according to how this limit is interpreted. The condition of mean-square differentiability can be naturally expressed in terms of the correlation function
Namely, $ X ^ \prime ( t) $ exists if and only if the limit
exists. A stochastic process having a mean-square derivative is absolutely continuous. More precisely, for every $ t $ and with probability 1,
A sufficient condition for the existence of a process equivalent to a given one with continuously differentiable trajectories is that its mean square-derivative $ X ^ \prime ( t) $ is continuous and has $ B ^ {\prime\prime} ( t _ {1} , t _ {2} ) $ as its correlation function. For Gaussian processes this condition is also necessary.
[1] | I.I. Gikhman, A.V. Skorokhod, "Introduction to the theory of stochastic processes" , Saunders (1967) (Translated from Russian) |
For additional references see Stochastic process.