What is a probability matrix?

A probability matrix, often referred to as a stochastic matrix, is a square matrix used to describe the probabilities of transitioning from one state to another in a stochastic process, such as Markov chains. Each element of the matrix represents the probability of moving from one state to another, with the sum of probabilities in each row equal to one. Probability matrices are essential in various applications, including statistics, finance, and machine learning, to model and analyze systems with random behavior.