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Markov Chain - How do you prove something is a Markov chain?


To establish that Sn is a Markov chain, it's necessary to demonstrate that P(Sn=x|S1,…,Sn−1)=P(Sn=x|Sn−1). This means that the transition probability to Sn only requires Sn−1, irrespective of the entire past history.