We show that the solar wind turbulence exhibits features characteristic for Markov processes. We have presented statistical analysis of magnetic field fluctuations in the Earth's magnetosheath using data from the Magnetospheric Multiscale (MMS) mission on very small kinetic scales [1; 2]. We have verified that the Chapman-Kolmogorov necessary condition for Markov processes is well satisfied. Here we are testing for local transfer of energy between the magnetic and velocity fields at various regions in Earth's space environment: behind the bow shock, inside the magnetosheath, and near the magnetopause [3]. Interestingly, magnetic turbulence is consistent with a generalized Ornstein-Uhlenbeck process. Solutions of the Fokker-Planck equation agree with experimental Probability Density Functions (PDFs), from the Kappa to normal Gaussian distributions for larger scales, which exhibit a universal global scale invariance with a linear (mono-fractal) scaling. For the velocity fluctuations higher order coefficients in Kramers-Moyal expansion should be considered hence scale invariance is not observed, suggesting rather nonlinear (multi-fractal) turbulence. Obtained results could be important to better understand the physical mechanism governing turbulent systems in space plasmas.