When one says that a stochastic process is Markovian, is this a property solely of the law of the process, or does the realization of the process also come in to play? I am asking even for the simplest examples, such as a process indexed by $\mathbb{N}$. Most abstract definitions are about being Markov with respect to some filtration, which indicates that it has to do with the realization also.


My guess is that by knowing only the law one can determine if there exists a version of the process that is Markovian, but that given a realization one cannot determine if it is Markovian solely by checking its law. If the latter case is true does anyone know of simple examples?


Edit: when I say ``realization'' I mean a collection of random variables with the given law. I do not mean the value of the random variables at a given point. So the question could be rephrased as: "Can one construct a collection of random variables that has the law of a Markov process, but such that the collection itself does not form a Markov process?"



Markov Property: determined by just the law or also the realization?
I've posted a solution [on my webpage](http://www.stat.ualberta.ca/people/schmu/preprints/markov_law.pdf).


