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By E. B. Dynkin. The first correct mathematical construction of a Markov process with continuous trajectories was given by N. WIENER in 1923. The general theory of Markov processes was developed in the 1930's and 1940's by A. N. KOL MOGOROV, W. FELLER, W. DOEBLlN, P. LEVY, J. L. DOOB, and others.
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