A sequence 
,
, ... of random variates is called
Markov (or Markoff) if, for any 
,
 |
i.e., if the conditional distribution 
of 
assuming 
, 
, ..., 
equals the conditional distribution 
of 
assuming only 
(Papoulis 1984, pp. 528-529). The transitional
densities of a Markov sequence satisfy the Chapman-Kolmogorov
equation.
