Sure, although you'll need more complicated examples to truly understand how REs work. Consider the following RE:
^[A-Za-z][A-Za-z0-9_]*$
which is a typical identifier (must start with alpha and can have any number of alphanumeric and undescore characters following, including none). The following pseudo-code shows how this can be done with a finite state machine:
state = FIRSTCHAR
for char in all_chars_in(string):
if state == FIRSTCHAR:
if char is not in the set "A-Z" or "a-z":
error "Invalid first character"
state = SUBSEQUENTCHARS
next char
if state == SUBSEQUENTCHARS:
if char is not in the set "A-Z" or "a-z" or "0-9" or "_":
error "Invalid subsequent character"
state = SUBSEQUENTCHARS
next char
Now, as I said, this is a very simple example. It doesn't show how to do greedy/nongreedy matches, backtracking, matching within a line (instead of the whole line) and other more esoteric features of state machines that are easily handled by the RE syntax.
That's why REs are so powerful. The actual finite state machine code required to do what a one-liner RE can do is usually very long and complex.
The best thing you could do is grab a copy of some lex/yacc (or equivalent) code for a specific simple language and see the code it generates. It's not pretty (it doesn't have to be since it's not supposed to be read by humans, they're supposed to be looking at the lex/yacc code) but it may give you a better idea as to how they work.
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