MARKOV PROPERTY

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In probability theory, a stochastic process has the 'Markov property' if the conditional probability distribution of future states of the process, given the present state and all past states, depends only upon the present state and not on any past states, i.e. it is conditionally independent of the past states (the ''path'' of the process) given the present state. A process with the Markov property is usually called a 'Markov process', and may be described as ''Markovian''. See in particular

★ Markov chain

★ Continuous-time Markov process
Mathematically, if ''X''(''t''), ''t'' > 0, is a stochastic process, the Markov property states that
:mathrm{Pr}ig[X(t+h) = y ,|, X(s) = x(s), orall s leq tig] = mathrm{Pr}ig[X(t+h) = y ,|, X(t) = x(t)ig], quad orall h > 0.
Markov processes are typically termed ''(time-) homogeneous'' if
:mathrm{Pr}ig[X(t+h) = y ,|, X(t) = xig] = mathrm{Pr}ig[X(h) = y ,|, X(0) = xig], quad orall t, h > 0,
and otherwise are termed ''(time-) inhomogeneous'' (or ''(time-) nonhomogeneous''). Homogeneous Markov processes, usually being simpler than inhomogeneous ones, form the most important class of Markov processes.
In some cases, apparently non-Markovian processes may still have Markovian representations, constructed by expanding the concept of the 'current' and 'future' states. For example, let ''X'' be a non-Markovian process. Then define a process ''Y'', such that each state of ''Y'' represents a time-interval of states of ''X'', i.e. mathematically,
:Y(t) = ig{ X(s): s in [a(t), b(t)] , ig}.
If ''Y'' has the Markov property, then it is a Markovian representation of ''X''. In this case, ''X'' is also called a 'second-order Markov process'. 'Higher-order Markov processes' are defined analogously.
An example of a non-Markovian process with a Markovian representation is a moving average time series.
The most famous Markov processes are Markov chains, but many other processes, including Brownian motion (to a close approximation), are Markovian.

Contents
Trivia
See also

Trivia


Punk band Bad Religion has a b-side about this property, appropriately entitled "The Markovian Process."

See also



★ Examples of Markov chains

★ Memorylessness

★ Semi-Markov process

★ Andrey Markov

★ Markov chain

★ Markov decision process

★ Dynamics of Markovian particles

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