This statistical entity is best exemplified by the simple random walk.  
Its transitional densities satisfy the Chapman-Kolmogorov equation, and if it is Gaussian is said to obey Doob's theorem.  Its transition matrix is generally related by the element P sub i j, which represents the probability of transitioning from state i to state j.  This statistical entity is best exemplified by the simple random walk.  FTP, identify this concept named after a Russian mathematician defined as a set containing a finite number of states for which the probability of being in each future state depends only on the set's present state.
Its transitional densities satisfy the Chapman-Kolmogorov equation, and if it is Gaussian is said to obey Doob's theorem.  
Markov chain