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**Xn / be a sequence of random variables defined on this probability space
**

taking values countable state space E, satisfying the condition

P.Xn D xn j Xn

1

D xn

1 ; : : : ; X0

D x0 / D P.Xn D xn j Xn

1

D xn

for all n 1, x1 ; : : : ; xn 2 E.

1 /;

(1)

**Then .Xn / is a (discrete time) Markov process in that
**

a:s:

P.Xn 2 A j Fs / D P.Xn 2 A j Xs /;

for all n s 1, and A E;

(?)

**where Fn D .X0 ; : : : ; Xn / for all n 0.
**

Notation 1.

P.Xn 2 A j G / for a -algebra G means EŒ1Xn 2A j G ; P.Xn 2 A j Xs / means EŒ1Xn 2A j .Xs /.

Notation 2.

EŒX I F for F F means EŒX 1F .

Step 0.

(1) could be extended to

P.Xn 2 A j Xn

1

D xn

for all n 1, A E, and x0 ; : : : ; xn

1

2 E.

1 ; : : : ; X0

D x0 / D P.Xn 2 A j Xn

1

D xn

1 /;

(2)

**Step 1. (?) obvious holds when s D n; we will first establish that (?) holds when s D n 1.
**

Let H be -system1 consisting of and all sets of the form fXn 1 D xn 1 ; : : : ; X0 D x0 g. It is clear that

EŒP.Xn 2 A j Xn

And for H D fXn

1

D xn

1 /I

1 ; : : : ; X0

EŒP.Xn 2 A j Xn

D EŒEŒ1Xn 2A j Xn

1 I

D P.Xn D A/ D EŒP.Xn 2 A/I :

(3)

D x0 g 2 H ,

1 /I H

D EŒP.Xn 2 A j Xn

D P.Xn 2 A j Xn

D P.Xn 2 A j Xn

1 /I Xn 1

D xn ; : : : ; X 0 D x0

1

D xn

1 /P.Xn

1

D xn

1 /P.H /;

**where the second equality is due to the fact that P.Xn 2 A j Xn
**

xn 1 /. But of course,

1/

1

D xn ; : : : ; X 0 D x0 /

is constant on H , taking value P.Xn 2 A j Xn

EŒ1Xn 2A I H D EŒEŒ1Xn 2A j Fn I H

D EŒP.Xn 2 A j Fn /I H

D P.Xn 2 A j Xn

1

D xn

(4)

1

D

(5)

1 ; : : : ; X0 D x0 /P.H /

where the first equality is the defining relation of the conditional expectation, since H 2 H Fn , and the second

equality is due to P.Xn 2 A j Fn / taking the constant value P.Xn 2 A j Xn 1 D xn 1 ; : : : ; X0 D x0 / on H .

Step 0 allows us to conclude that

EŒP.Xn 2 A j Xn

1 /I H

D EŒ1Xn 2A I H ;

for all H 2 H :

(6)

**But now the Monotone Class Theorem allows us to conclude that
**

EŒP.Xn 2 A j Xn

Therefore, P.Xn 2 A j Xn

equal a.s:

1/

1 /I H

D EŒ1Xn 2A I H ;

for all H 2 .H / D Fn

**is a version of the conditional expectation P.Xn 2 A j Fn
**

P.Xn 2 A j Xn

1/

D P.Xn 2 A j Fn

1 /,

1:

and any two versions are

1 /:

1A collection of events is said to be a -system if it is closed under finite intersections; H1 ; H2 2 H H) H1 \ H2 2 H .

1

(7)

(8)

Step 2.

**We will extend (1) to:
**

P.Xn D xn j Xs D xs ; : : : ; X0 D x0 / D P.Xn D xn j Xs D xs /;

(9)

for all n > s 1, x0 ; : : : ; xs 2 E, xn 2 E.

Fix s, and go by induction on n. There is nothing to prove n D s C 1—it is simply (1). Carry through the calculation

X

P.Xn D xn j Xs D xs ; : : : ; X0 / D

P.Xn D xn j X D xn 1 ; Xs D xs ; : : : ; X0 D x0 /P.Xn 1 D x j Xs D xs ; : : : ; X0 D x0 /

x

D

X

P.Xn D xn j Xn

1

D x; Xs D xs /P.Xn

1

D x j Xs D x s /

x

D P.Xn D xn j Xs D xs /

(10)

in which

P.Xn D xn j Xn

1

D xn

1 ; Xs

D xs ; : : : ; X0 D x0 / D P.Xn D xn j Xn

1

D xn

1 ; Xs

D xs /;

(11)

**by Step 1 as both are equal to the common value P.Xn D xn j Xn 1 D xn 1 /; and P.Xn 1 D xjXs D xs ; : : : ; X0 D
**

x0 / D P.Xn 1 D x j Xs D xs / by the induction hypothesis. The summation is taken over all such that P.Xn 1 D

x; Xs D s; : : : ; X0 D x0 / > 0.

Now we can extend this result to

P.Xn 2 A j Xs D xs ; : : : ; X0 D x0 / D P.Xn 2 A j Xs D xs /:

Step 3.

step:

(12)

Just as Step 0 provided for the result in Step 1, Step 2 (i.e. (12)) provides the essential ingredient in this final

P.Xn 2 A j Fs / D P.Xn 2 A j Xs / a.s.

(?)

**for all A E, n s 1. The proof is exactly the same as Step 1.
**

In particular, (?) says that for all n s 1, x 2 E and A0 ; : : : ; As

P.Xn 2 A j Xs D x; Xs

1

2 As

1 ; : : : ; X0

2

1; A

E,

2 A0 / D P.Xn 2 A j Xs D x/:

(13)

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