How to estimate the transition probabilities for a Markov Chain when time intervals are non-equally spaced
With the limited information that you have given, it is not possible to judge the trade-off between different approaches of handling time here. I can propose the following alternatives.


Check if you can discretize the time information and then use transition to same state assumption. For example, let us say that transition from A to B took place at 30 minutes. If you have standard time interval of 10 minutes, you can say that for interval 1 &amp; 2 (10 minutes, 20 minutes), the transition was from state A to A whereas in the third interval the transition was from A to B. There will be problems though when multiple transitions take place in a given interval. You can either make the interval small enough or distribute the transition probability equally in such case.
Is the time information significant to whatever that you are trying to model? Otherwise you can ignore the time information.