"This is a very well-written introduction to the basics of probability theory, stochastic analysis and their applications. Automatic control engineers will surely find much valuable material on different topics of modern and classical mathematics related to system and automatic control theories. In addition, this book may well serve as a reference book for researchers in applied probability theory and stochastic analysis. Overall, this book is self-contained, well-organized, and clearly presented. It is a welcome addition to the existing collection of books in the field of probability and stochastic analysis, booth as a textbook at the graduate level and a reference book for researchers in this area."--Mathematical Reviews