Many time we face some problem which can be formulated as a set S = {si} of state and a the probability to go from one state to another is given . A subset of that kind of problem is Markov chain .
Def(Markov Chain) :- A process organised on a set of states S = {si} where inter state transitional probability only depends on previous and next state i and j. So we can create a Transitional matrix P = {pij} consist of conditional probability to go from state j to i.