A session is a group of interactions between a user and an application that take place within a given timeframe. A single session can contain multiple activities (such as page views, events, social interactions, and e-commerce transactions), all of which the session temporarily stores while the user is connected.
By default, when a user leaves a website or closes their browser, their session ends. To keep users from having to log in every time they return, applications will typically extend sessions by storing session information in a cookie. Sessions are then effectively ended when a user logs out or when session lifetime limits are reached.
For examples of how sessions are used with authentication in Auth0, see Sample Use Cases: Sessions.