A stochastic process is said to have the Markov property if, at every instant, given the past until that instant, the conditional probability law governing its future depends only on its present state. This property is the probabilistic generalization of the classical notion that, if the present state of a physical system is described in sufficient detail, the system’s future evolution would be determined by the present state, without regard to how the system arrived at that state.
KeywordsBrownian Motion Markov Process Wiener Process Markov Property Jump Time
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