Probability Density Function of the derivative of a stochastic process

Bahi

New Member
#1
Dear all;
What is the expression of the PDF of the derivative of a stochastic process? My problem is completely general and theoretical, so, let's assume that all statistics of the stochastic process are given (e.g. pdf, higher order statistics, and so on).
In other words, if we know everything about the statistics of the process "x", how can the pdf of the process "dx/dt" be calculated?

all the best,
Bahram