**Mumbai University > Electronics and Telecommunication Engineering > Sem 5 > Random Signal Analysis

Marks: 10M

Year: May 2016

Chapman Kolmogorov Equation / Theorem

Suppose {$X_n$} , n=0,1,2,3,.... is a homogeneous Markov Chain. Then

$$p^{m+n}_{ij} = {\sum_k}{p^m_{ik}} {p^n_{kj}}$$

That is, the conditional probability that the Markov Chain goes from state i to state j in m+n steps is equal to the sum of the conditional probabilities of reaching an …