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The problem
Consider a stochastic process with the following three properties:
The process is Markov, meaning that $p(x_n,t_n|x_{n-1},t_{n-1},\ldots x_1, t_1) = p(x_n,t_n|x_{n-1},t_{n-1}).$
The conditional probability is
$$p(x_n, t_n|x_{n-1},t_{n-1}) = \left[ 2 \pi \sigma^2 (1 - e^{-2 \gamma (t_...