The present paper is devoted to the theory of discontinuous Markoff processes, that is processes where the transitions between states take place either by “jumps” of some specified kind, or by other means. States are taken as point$x$in an abstract space;$phases$are points ($x, t$) in the product state×time space; sets of states are denoted by$X$, sets of phases by$S$.

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In this paper, we construct the bilinear identities for the wave functions of an extended Kadomtsev-Petviashvili (KP) hierarchy, which is the KP hierarchy with particular extended flows. By introducing an auxiliary parameter, whose flow corresponds to the so-called squared eigenfunction symmetry of KP hierarchy, we find the tau-function for this extended KP hierarchy. It is shown that the bilinear identities will generate all the Hirota's bilinear equations for the zero-curvature forms of the extended KP hierarchy, which includes two types of KP equation with self-consistent sources (KPSCS). It seems that the Hirota's bilinear equations obtained in this paper for KPSCS are in a simpler form by comparing with the results by X.B. Hu and H.Y. Wang.

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