For example, this mentioned here: link. I also saw this in my data. I wonder - does anyone know a good reference where this is explained and justified more rigorously with some math and for some more-or-less wide class of processes?

Here are some plots:

Series with positive autocorrelation before differencing

Autocorrelation before differencing

Series after differencing

Autocorrelation after differencing

For example, this mentioned here: link. I also saw this in my data. 

I wonder - does anyone know a good reference where this is explained and justified more rigorously with some math and for some more-or-less wide class of processes?

Here are some plots:

Series with positive autocorrelation before differencing

Autocorrelation before differencing

Series after differencing

Autocorrelation after differencing