Kolmogorov and the theory of Markov processes (Q581911)

This is a contribution to the issue of The Annals of Probability dedicated to the memory of \textit{A. N. Kolmogorov}. It traces the influence of Kolmogorov's work on the development of the theory of markov and related processes over the last sixty years, beginning with Kolmogorov's celebrated paper, ``Über die analytischen Methoden in der Wahrscheinlichkeitsrechnung''. Math. Annalen 104, 415-458 (1931; Zbl 0001.14902). It describes in broad terms the evolution of such diverse areas of the subject as the theory of transition functions, forward and backward differential equations, other connections with particular differential equations, infinitesimal generators, probability measures on spaces of paths, processes with independent increments, martingales and the martingale approach to diffusion, Itô's stochastic differential equations, probabilistic potential theory, Markov chains with countably many states, boundary theory and branching processes.