The book of the famous New Zealand physicist combines the properties of a textbook and a monograph and can serve as a reference for the theory of stochastic processes. A sequential consideration of Markov processes is given, stochastic differential equations are derived, various forms of the Fokker equation are considered - Plank, setting boundary problems and methods for solving them, control equations of processes with jumps and their approximation using the Fokker equation - Plank, issues of bistability and metastability, quantum mechanical Markov processes as applied to quantum optics and quantum electronics, as well as the basic concepts of probability theory and random processes.