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    Chapman-Kolmogorov Equation

    Definition

    The equation f(x_n|x_s) = integral_(-∞)^∞ f(x_n|x_r) f(x_r|x_s) d x_r which gives the transitional densities of a Markov sequence. Here, n>r>s are any integers.

    Related term

    Markov process

    Associated person

    Andrey Nikolaevich Kolmogorov

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