we know that anything cannot burn with out oxygen so
How can sun burn without oxygen in space
Answers
A fire cannot burn without oxygen. You can show this for yourself, in fact: if you light a small candle and then put a clear glass upside-down over that candle (without touching the flame), you can watch the flame slowly extinguish as it uses up all of the oxygen that you have trapped around it with the glass.
The way the Sun "burns" fuel is completely different from the way a fire on Earth burns (the term "burning" is a bit misleading when used to talk about stars). The Sun gets its energy by smashing small light elements together to make heavier elements; most of a star's life is spent smashing hydrogen atoms together to make helium. The burning that a star does, then, is a nuclear reaction, and not a chemical one like the fires on Earth (when a candle burns, the atoms themselves remain unchanged: just the molecules are affected).
So, the Sun can "burn" hydrogen to helium without the need for oxygen. It should be noted that in the presence of carbon, nitrogen and oxygen, stars heavier than the Sun may burn hydrogen to helium by using the C, N and O as catalysts. Even in these stars, however, an absence of oxygen does not prevent nuclear burning.
Inside the sun's surfaces two processes nuclear fission and fusion are rapidly going on which produces heat in masive amount due to which sun burns.