Chapman–Kolmogorov equation

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What Wikipedia says

In mathematics, specifically in the theory of Markovian stochastic processes in probability theory, the Chapman–Kolmogorov equation (CKE) is an identity relating the joint probability distributions of different sets of coordinates on a stochastic process.

Excerpt from the Wikipedia article “Chapman–Kolmogorov equation”, under the CC BY-SA 4.0 license. Read the article on Wikipedia