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Markov chain

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A Markov chain or Markov process is a stochastic model describing a sequence of possible events in which the probability of each event depends only on the state attained in the previous event.[1][2][3] Informally, this may be thought of as, "What happens next depends only on the state of affairs now." A countably infinite sequence, in which the chain moves state at discrete time steps, gives a discrete-time Markov chain (DTMC). A continuous-time process is called a continuous-time Markov chain (CTMC). It is named after the Russian mathematician Andrey Markov.

A diagram representing a two-state Markov process. The numbers are the probability of changing from one state to another state.

Markov chains have many applications as statistical models of real-world processes,[1][4][5][6] such as studying cruise control systems in motor vehicles, queues or lines of customers arriving at an airport, currency exchange rates and animal population dynamics.[7]

Markov processes are the basis for general stochastic simulation methods known as Markov chain Monte Carlo, which are used for simulating sampling from complex probability distributions, and have found application in Bayesian statistics, thermodynamics, statistical mechanics, physics, chemistry, economics, finance, signal processing, information theory and speech processing.[7][8][9]

The adjectives Markovian and Markov are used to describe something that is related to a Markov process.[1][10][11]

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