A two-state Markov chain. The
probability of switching from one state to another is indicated by the numbers next to the arrows.
A Markov chain is a model of some random process that happens over time. Markov chains are called that because they follow a rule called the Markov property. The Markov property says that whatever happens next in a process only depends on how it is right now (the state). It doesn't have a "memory" of how it was before. It is helpful to think of a Markov chain as evolving through discrete steps in time, although the "step" doesn't need to have anything to do with time.