I will give a short introduction of Nonstandard Analysis, Nonstandard Probability Theory as well as Markov Chain Convergence Theorem. I will give an example to show how to represent Lebesgue measure on [0,1] using Hyperfinite probability measure. Then I will introduce the concept of Hyperfintie Markov chain . For every standard Markov Chain, I will show how to construct a corresponding Hyperfintie Markov Chain. Thus the convergence of the Hyperfinite Markov Chain would imply the convergence of the original Markov Chain.