A process is an application running your system, where as the thread is an integral part of the process. 

That means, A process can contain multiple threads. 

Ex:

A browser can handle multiple parallel websites at a time

A movie player can handle audio, video and subtitles at a time.

Let us see the program for Multi threading in java.

import java.lang.*;
class FirstThread extends Thread
{
    public void run()
    {
        for(int i=0; i<4; i++)
        {
            try
            {
                if(i == 3)
                {
                    sleep(4000);
                }
            }
            catch(Exception x)
            { }
            System.out.println(i);
        }
        System.out.println(" First Thread Finished ");
    }
}
class SecondThread extends Thread
{
    public void run()
    {
        for(int i=0; i<4; i++)
        {
            System.out.println(i);
        }
        System.out.println(" Second Thread Finished ");
    }
}
class ThirdThread extends Thread
{
    public void run()
    {
        for(int i=0; i<4; i++)
        {
            System.out.println(i);
        }
        System.out.println(" Third Thread Finished ");
    }
}
class MultiThread
{
    public static void main(String arg[])
    {
        FirstThread a1 = new FirstThread();
        SecondThread b1 = new SecondThread();
        ThirdThread c1 = new ThirdThread();
        a1.start();
        b1.start();
        c1.start();
    }
}

 OUTPUT:

0
0
1
2
3
1
2
0
1
2
3
 Second Thread Finished 
 Third Thread Finished 
3
 First Thread Finished 

Check an another example for multi threading

Multithreading Program in Java