Markov Chain

A collection of random variables $\{X_t\}$, where the index $t$ runs through 0, 1, ....

References

Kemeny, J. G. and Snell, J. L. Finite Markov Chains. New York: Springer-Verlag, 1976.

Stewart, W. J. Introduction to the Numerical Solution of Markov Chains. Princeton, NJ: Princeton University Press, 1995.