Discrete-time Markov chain

Definition taught in Discrete-time Markov chains, part of Stochastic processes

Discrete-time Markov chain

Type Definition
Taught in Discrete-time Markov chains
Part Stochastic processes

A process X_0,X_1,\ldots on a finite or countable state space S is a discrete-time Markov chain when

\mathbb{P}(X_{n+1}=j\mid X_n=i,X_{n-1},\ldots,X_0)=\mathbb{P}(X_{n+1}=j\mid X_n=i)=p_{ij}

for every n and every choice of states. The chain is time-homogeneous when p_{ij} does not depend on n. The transition matrix P=(p_{ij}) has non-negative entries, and every row sums to 1.

Used in

See also

Finite-state Markov chain · Stationary distribution

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