Continuous-Time Linear Models
I translate familiar concepts of discrete-time time-series to contnuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction formulas.
I acknowledge research support from CRSP. I thank George Constantinides for helpful comments. The views expressed herein are those of the author and do not necessarily reflect the views of the National Bureau of Economic Research.
John Cochrane, 2011. "Continuous-Time Linear Models," Foundations and Trends® in Finance, vol 6(3), pages 165-219.