I want to set up an OAuth2-compliant Identity Provider with Azure but am unable to find any useful links, earlier i was able to set up the same for Okta using the below steps
To configure Okta as Identity Provider:
is there any way in azure so i can achieve the same.
in other words, how to setup OpenID connect with Azure
The same can be achieved in Azure with Azure Active Directory. You would have to register an application and configure the same from the Portal UI for your application like exposing app specific scopes.
The linked how-to docs from the official docs cover various other aspects like signing in users, app roles, tokens, claims, etc.