# Kolmogorov-Chapman equation

2010 Mathematics Subject Classification: Primary: 60J35 [MSN][ZBL]

An equation of the form

$$P ( s , x ; u , \Gamma ) = \ \int\limits _ { E } P ( s , x ; t , d y ) P ( t , y ; u , \Gamma ) ,\ \ s < t < u ,$$

that is, a condition imposed on the transition function $P ( s , x ; t , \Gamma )$( $0 \leq s \leq t < \infty$, $x \in E$, $\Gamma \in \mathfrak B$, $( E , \mathfrak B )$ being a measurable space), enabling one (under certain conditions on $( E , \mathfrak B )$) to construct a Markov process for which the conditional probability ${\mathsf P} _ {s,x} ( x _ {t} \in \Gamma )$ is the same as $P ( s , x ; t , \Gamma )$. Conversely, for a Markov process its transition function $P ( s , x ; t , \Gamma )$, which by definition is equal to ${\mathsf P} _ {s,x} ( x _ {t} \in \Gamma )$, satisfies the Kolmogorov–Chapman equation, as follows immediately from general properties of conditional probabilities. This was pointed out by S. Chapman [C] and investigated by A.N. Kolmogorov in 1931 (see [K]).

#### References

 [C] S. Chapman, "?", Proc. Roy. Soc. Ser. A , 119 (1928) pp. 34–54 [K] A. Kolmogoroff, "Ueber die analytischen Methoden in der Wahrscheinlichkeitsrechnung" Math. Ann. , 104 (1931) pp. 415–458 [GS] I.I. Gihman, A.V. Skorohod, "The theory of stochastic processes" , 2 , Springer (1975) (Translated from Russian)