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An energy management strategy is needed to optimally allocate the driver's power demands to different power sources in the fuel cell hybrid vehicles. The driver's power demand is modelled as a Markov process in which the transition probabilities are estimated on the basis of the observed sample paths. The Markov Decision Process (MDP) theory is applied to design a stochastic energy management strategy for fuel cell hybrid vehicles. This obtained control strategy was then tested on a real time simulation platform of the fuel cell hybrid vehicles. In comparison to the other 3 strategies, the constant bus voltage strategy, the static optimization strategy and the dynamic programming strategy, simulations in the Beijing bus driving cycle demonstrate that the obtained stochastic energy management strategy can achieve better performance in fuel economy in the same demand of dynamic.