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Semi-Markov processes are a generalization of Markov processes since the exponential distribution of time intervals is replaced with an arbitrary distribution. The paper contains 7 parts.  In Section 1 ``Introduction'', the authors give an introduction of the history of semi-Markov processes, and the goal of this paper.  In Section 2 ``Preliminaries'', the authors introduce complete monotonicity and Berstein functions, and subordinators and non-homogeneous subordinators.  In Section 3 ``Stepped semi-Markov processes and time-changed Markov processes'', the authors introduce and construct a large class of semi-Markov processes.  In Section 4 ``The Kolmogorov's equations'', the authors present the Kolmogorov's equation for a class of semi-Markov processes in the form of an integro-differential Volterra equation.  In Section 5 ``General semi-Markov processes as limit of stepped semi-Markov processes'', the authors consider weak limits of semi-Markov processes and identified the corresponding integro-differential Kolmogorov's equations.  In Section 6 ``Some remarks on countable state spaces'', some results of previous sections are presented when the state space \\(\\mathcal{S}\\) is countable.  In Section 7 ``Auxiliary results'', two technical results used in the paper are 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