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Deift} et al. in [Comm. Pure Appl. Math. 52, 1335--1425, (1999; Zbl 0944.42013), 1491--1552 (1999; Zbl 1026.42024)] and \\textit{P. Bleher} and \\textit{A. Its} [Ann. Math. (2) 150, 185--266 (1999; Zbl 0956.42014)]. These papers were motivated by universality questions from random matrix theory. Boundary value problems on Riemann surfaces appeared in earlier works of \\textit{J. Nuttall} [J. Approx. Theory 42, 299--386 (1984; Zbl 0565.41015)] and Stahl on Pad\u00e9 approximation. These boundary value problems can be considered as vector Riemann-Hilbert problems in contrast to the more recent matrix Riemann-Hilbert problems. In the present paper, the authors explain both methods and its relation to the strong asymptotics of Pad\u00e9 approximants to Markov functions. The boundary value problem on a Riemann surface is presented with some new ideas due to \\textit{S. P. Suetin} [Mat. Sb. 191, No. 9, 81--114 (2000; Zbl 0980.41015)]. 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