he references for this section are
[Gikhman]
and
[RevuzYor]
.
The process
in
is a Markov process if it is self-descriptive at any time:
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(Markov property)
|
for some mapping
.
One may always attempt to transform a non-Markov process into a Markov process
by increasing dimensionality of the process. However, it is not always
possible. For example of such impossibility, think of a diffusion process with
volatility and drift components nontrivially dependent on the entire prior
path.
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