 Solution

Put $\rho =e^{-\Delta t/\tau }=e^{-x}$ and retain $R=k(0,0)$, which equals one for the stated exponential covariance function. The covariance matrix of $(y_1,y_2,y_3)$ isConditioning a multivariate normal distribution and simplifying givesThe absence of $y_1$ from both conditional moments shows that $y_3$ and $y_1$ are conditionally independent given $y_2$. Equivalently, the exponential-kernel Gaussian process is the stationary Ornstein-Uhlenbeck process, which is Markov.