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Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

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is this process a Markov one?

Here is the problem I can't solve. Let $\xi_n$ $(n=1,2,3,\dots)$ be a sequence of i.i.d. random variables on $\mathbb{R}$ with density $p(x)>0$, let $\eta_n=\sum_{i=1}^{n}\xi_i^2$. Define $$\zeta_t = …
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