The bridges of a Markov process are also Markov. But an arbitrary mixture of these bridges fails to be Markov in general. However, it still enjoys the interesting properties of a reciprocal process.
The structures of Markov and reciprocal processes are recalled with emphasis on their time-symmetries. A review of the main properties of the reciprocal processes is presented. Our measure-theoretical approach allows for a unified treatment of the diffusion and jump processes. Abstract results are illustrated by several examples and counter-examples.
Christian Léonard. Sylvie Rœlly. Jean-Claude Zambrini. "Reciprocal processes. A measure-theoretical point of view." Probab. Surveys 11 237 - 269, 2014. https://doi.org/10.1214/13-PS220