Geodesic
On a~Question of R.\,L.~Dobru\v sin
Teoriâ veroâtnostej i ee primeneniâ, Tome 9 (1964) no. 1, pp. 180-181

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An example of non-existence of a Markov distribution on a measurable space $(X\times Y\times Z,\mathcal{X}\times\mathcal{Y}\times\mathcal{Z})$ with given marginal distributions on $(X\times Y,\mathcal{X}\times \mathcal{Y})$ and $(Y \times Z,\mathcal{Y}\times\mathcal{Z})$ is constructed. 
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     author = {V. V. Sazonov},
     title = {On {a~Question} of {R.\,L.~Dobru\v} sin},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
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     publisher = {mathdoc},
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     year = {1964},
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V. V. Sazonov. On a~Question of R.\,L.~Dobru\v sin. Teoriâ veroâtnostej i ee primeneniâ, Tome 9 (1964) no. 1, pp. 180-181. http://geodesic.mathdoc.fr/item/TVP_1964_9_1_a26/