The Markov chain and Markov process

Before going into MDP, let us understand the Markov chain and Markov process, which form the foundation of MDP.

The Markov property states that the future depends only on the present and not on the past. The Markov chain is a probabilistic model that solely depends on the current state to predict the next state and not the previous states, that is, the future is conditionally independent of the past. The Markov chain strictly follows the Markov property. 

For example, if we know that the current state is cloudy, we can predict that next state could be rainy. We came to this conclusion that the next state could be rainy only by considering the current state (cloudy) and not the past states, which might be sunny, windy, and so on. However, the Markov property does not hold true for all processes. For example, throwing a dice (the next state) has no dependency on the previous number, whatever showed up on the dice (the current state).

Moving from one state to...