The manual presents in a single key the main techniques used in the analysis of random phenomena, which are rarely included in the initial courses of probability theory, leaving them for in-depth master's and graduate courses in the field of stochastic analysis. The presentation of the material is closed in itself and relies on the classical foundations of probability theory presented in the manual, associated with the concepts of measurable space, measurable mapping, and with the properties of Lebesgue measure and integral. Intended for undergraduates and graduate students of physical and mathematical specialties of universities included in the UGS: "Mathematics and Mechanics," "Computer and Information Sciences," "Physics and Astronomy."