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This book is based mainly on the lecture notes that I have been using since 1993 for a course on applied probability for engineers that I teach at the Ecole Polytechnique de Montreal. This course is given to electrical, computer and physics engineering students, and is normally taken during the second or third year of their curriculum. Therefore, we assume that the reader has acquired a basic knowledge of differential and integral calculus. The main objective of this textbook is to provide a reference that covers the topics that every student in pure or applied sciences, such as physics, computer science, engineering, etc., should learn in probability theory, in addition to the basic notions of stochastic processes and statistics. It is not easy to find a single work on all these topics that is both succinct and also accessible to non-mathematicians. Because the students, who for the most part have never taken a course on prob- ability theory, must do a lot of exercises in order to master the material presented, I included a very large number of problems in the book, some of which are solved in detail. Most of the exercises proposed after each chapter are problems written es- pecially for examinations over the years. They are not, in general, routine problems, like the ones found in numerous textbooks.