Changes in the transition matrix of a Markov chain

Question

In most or all Markov chain theories that I know of assumes that the transition matrix does not change over time. But what if certain changes are expected to occur at certain times in the transition matrix? I would much appreciate if some one could suggest me a text book or explain me what happens when changes in the transition matrix occurs since it will affect many aspects of the usual Markov chain theorems that I currently know of. Thank you