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Wikipedia says there are two. But then any finite ring is also an abelian group under addition and any finite abelian group of order p is isomorphic to $\mathbb{Z_p}$. So shouldn't it be only one. Which one is other?

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You can always define $a \cdot b=0$ for any $a,b$, when you have an abelian group. This gives you a (very boring) ring structure.

Let us show that any other ring structure is isomorphic to the usual ring structure of $\mathbb Z/p\mathbb Z$:

Let $R$ be a ring with abelian group $\mathbb Z/p\mathbb Z$.

Since any element in the abelian group $\mathbb Z/p\mathbb Z$ is a sum of the form $1 + \dotsb + 1$, the ring structure of $R$ is uniquely determined by $x := 1 \cdot 1$.

If we have $x \neq 0$, $x$ generates the abelian group $\mathbb Z/p\mathbb Z$, hence there is $a$ with $ax=1$, which shows $1 \cdot a = 1$.

This gives rise to an isomorphism of rings $\mathbb Z/p\mathbb Z \to R, 1 \mapsto a$.

MooS
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