After 1900 Markov applied the method of continued fractions, pioneered by his teacher Pafnuty Chebyshev, to probability theory. He also studied sequences of mutually dependent variables, hoping to establish the limiting laws of probability in their most general form. He proved the central limit theorem under fairly general assumptions.
Markov is particularly remembered for his study of Markov chains, sequences of random variables in which the future variable is determined by the present variable but is independent of the way in which the present state arose from its predecessors. This work launched the theory of stochastic processes.
In 1923 Norbert Wiener became the first to treat rigorously a continuous Markov process. The foundation of a general theory was provided during the 1930s by Andrei Kolmogorov.
Markov was also interested in poetry and he made studies of poetic style, interestingly Kolmogorov had similar interests.
Markov had a son (of the same name) who was born on September 9, 1903 and followed his father in also becoming a renowned mathematician.