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I am not sure I truly understand the implications of Markov property or, for that matter, the strong Markov property. Could anybody here give me some more explanation and examples? I found the example of random walk's generating function given in Markov Chains by J.R. Norris in 1997 is not very clear, especially for the fact that he used different definitions of these two properties.

Thanks a lot.

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 This seems close to asking someone to write a Wikipedia entry for you... could you single out one or two specific aspects of the (strong) Markov property which you find unclear or which don't make sense to you? – Yemon Choi Feb 27 2011 at 6:33
The difference between simple Markov and strong Markov properties vanishes for discrete time Markov chains so examples about the latter will not bring much light to the former. Anyway, this is a textbook question and not suitable for MO. – Didier Piau Feb 27 2011 at 6:37
A related question: mathoverflow.net/questions/43833/… – Andrey Rekalo Feb 27 2011 at 8:44

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