\documentclass[varwidth=true, border=2pt]{standalone}

\usepackage{tikz}
\usetikzlibrary{shapes,snakes,shapes.geometric,positioning,decorations.text}

\begin{document}
\tikzstyle{arrow}=[bend left,->,very thick, line cap=round]
\begin{tikzpicture}[node distance=2cm]
    \node[ellipse,draw,minimum width=80pt,minimum height=20pt,fill=gray!5] (a) {1\\2\\3};
    \node[ellipse,draw,minimum width=80pt,minimum height=20pt,fill=gray!5,below of=a] (u) {a\\b\\c};

    % Arrows
    \draw[arrow,postaction={decorate,decoration={text along path,raise=0.08cm,text align=center,text={Aktion {$a_k$}}}}] (a.east) to node {} (u.east);
    \draw[arrow,postaction={decorate,decoration={text along path,raise=0.08cm,text align=center,text={Zustand {$x_k$}}}}] (u.west) to node {} (a.west);
\end{tikzpicture}
\end{document}