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Let \\(P_{\\theta,t}\\) denote the restriction of \\(P_ \\theta\\) to the \\(\\sigma\\)-algebra \\({\\mathcal F}_ t=\\sigma\\{X(s): s\\leq t\\}\\). Suppose that for each \\(t\\) the family \\(P_{\\theta,t}\\), \\(\\theta\\in\\Theta\\), is dominated by the measure \\(\\mu_ t\\) being the restriction of a probability measure \\(\\mu\\) to \\({\\mathcal F}_ t\\), and  \\[ dP_{\\theta,t}/d\\mu_ t=\\exp\\left\\{\\sum^ n_{i=1}\\theta_ i Z_ i(t)+\\Phi(\\theta)S(t)\\right\\},\\tag{1} \\]  where \\(\\Phi(\\theta)\\) is a continuously differentiable function and \\((Z(t),S(t))\\), \\(t\\in T\\), is a stochastic process adapted to the filtration \\({\\mathcal F}_ t\\), \\(t\\in T\\).   The authors characterize the family of proper priors on \\(\\Theta\\) which are conjugate to the curved exponential family defined by (1). 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