If you are planning to use a specific computer to develop Java programs, you need to download and install JDK. If you are planning to use this computer only to run Java programs that were compiled somewhere else, you just need the Java Runtime Environment (JRE).
If you have JDK installed on your machine, it includes JRE.
Java’s platform independence comes from the fact that your Java program doesn’t know under which operating system (OS) or on which hardware it’s being executed. It operates inside the pre-installed JRE.
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