Strictness of Markov Properties
A stochastic process $\{X_i\}_{i=0}^\infty $ is $n$-Markov if $$P(X_{t+n}|X_{t+n-1}, X_{t+n-2}, \cdots , X_{t}) = P(X_{t+n}|X_{t+n-1})$$ for any $t \ge 0$. We would prove that An $n$-Markov stochastic process must be $m$-Markov while is not necessarily $l$-Markov where $l > n > m$ N+1 to N First, we prove an (n+1)-Markov stochastic process must be n-Markov. Proof: Suppose $\{X_i\}_{i=0}^\infty$ is an $(n+1)$-Markov stochastic process. We have $$P(X_{t+n}|X_{t+n-1}, X_{t+n-2}, \cdots, X_t) = P(X_{t+n} | X_{t+n-1})$$ for any $t \ge 0$, deriving...