I have a formula for an exponentially weighted moving average function defined recursively as:
$S_t = a*Y_t+(1-a)*S_{t-1}$
Where:
- $a\in (0,1)\cap \mathbb{Q}$
- $t$ represents time
- $Y_t$ is the value at a time period $t$
- $S_t$ is the value of the EMA at any time period t.
I am trying to find a generally applicable solution for the derivative of $S_t$ in regards to $dt$.
Any assistance would be most appreciated!