It has recently been shown that if feedback effects of decisions are ignored, then imposing fairness constraints such as demographic parity or equality of opportunity can actually exacerbate unfairness. We propose to address this challenge by modeling feedback effects as Markov decision processes (MDPs). First, we propose analogs of fairness properties for the MDP setting. Second, we propose algorithms for learning fair decision-making policies for MDPs. Finally, we demonstrate the need to account for dynamical effects using simulations on a loan applicant MDP.