Let $A_n = \mathbb{Z}/p^n \mathbb{Z}$ . We define the ring of p-adic integers $\mathbb{Z_p}$ as $$\mathbb{Z_p} := \lim_{\longleftarrow} (A_n , \phi_n)$$ where $\phi_n : A_n \rightarrow A_{n-1}$ is a homomorphism.
It's called projective limit of the system $(A_n , \phi_n)$. Any element of $\mathbb{Z_p}$ is a sequence $x = (... , x_n, ...,x_1)$ with $x_n \in A_n$ and $\phi_n(x_n) = x_{n-1}$ for $n >1$.
I do not understand what kind of limit is defined for $\mathbb{Z_p}$. Can someone please explain to me this notation?
This is a particular (and concrete) example or Inverse Limit of Rings (Bourbaki Algebra Ch 1 § 10 nb. 1). Take an inverse system of rings that is the data of
The limit is the set of families (in your case sequences) $(x_\alpha)_{\alpha\in I}$ such that, for all $\alpha\leq \beta$ one has $f_{\alpha,\beta}(x_\beta)=x_\alpha$.
Note that, in your case, $\phi_n$ is not arbitrary. It is the canonical morphism.