History
Andrey Markov produced the first results (1906) for these processes, purely theoretically. A generalization to countably infinite state spaces was given by Kolmogorov (1936). Markov chains are related to Brownian motion and the ergodic hypothesis, two topics in physics which were important in the early years of the twentieth century, but Markov appears to have pursued this out of a mathematical motivation, namely the extension of the law of large numbers to dependent events. In 1913, he applied his findings for the first time to the first 20,000 letters of Pushkin's Eugene Onegin.. By 1917, more practical application of his work was made by Erlang to obtain formulas for call loss and waiting time in telephone network.
Seneta provides an account of Markov's motivations and the theory's early development. The term "chain" was used by Markov (1906).
Read more about this topic: Markov Chain
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