Stochastic processes with memory

Can anyone provide references for stochastic processes where future steps do depend on the past state of the system? Most of the material I'm finding deals purely with memoryless processes. Thanks!
 

MarneMath

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http://arxiv.org/ftp/math/papers/0401/0401144.pdf

There's one article I kept in my bookmarks. In fact, if you're interested, many papers on modified markov chains that take past state of the system in account for either short or long term duration will end up being financial in nature.

http://legacy.orie.cornell.edu/gennady/techreports/LRD-NOW.pdf

Here's a paper on long range dependence. It'll be a bit tough to actually find a textbook type reference for these topics though. I've only encountered them in journals.
 
Thanks!
 

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