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I've been trying to solve this problem for a week now, but haven't been able to. Basically I need to prove that a certain process satisfies Chapman-Kolmogorov equations, yet it isn't a Markov Process (it doesn't satisfy the Markovian Property).

I attached the problem as a .doc below.

Please, I really need a little help here.

I attached the problem as a .doc below.

Please, I really need a little help here.