Chapman-Kolmogorov Equation

The equation

which gives the transitional densities of a Markov sequence. Here, are any integers (Papoulis 1984, p. 531).

See also

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References

Papoulis, A. Probability, Random Variables, and Stochastic Processes, 2nd ed. New York: McGraw-Hill, 1984.

Referenced on Wolfram|Alpha

Chapman-Kolmogorov Equation

Cite this as:

Weisstein, Eric W. "Chapman-Kolmogorov Equation." From MathWorld--A Wolfram Web Resource. https://mathworld.wolfram.com/Chapman-KolmogorovEquation.html

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