One Step Transition Probability

Topics: Transition Probabilities in a Markov Chain - Markov Chain

---

(definition)

In a Markov chain $\left\{X_t\mid t\in \mathbb{N}\right\}$, a one step transition probability is a probability of the form:

$$\mathbb{P}(X_{t+1}=j\mid X_t=i)$$

…where $i,j$ are any two possible states of the chain.