This book provides a systematic mathematical analysis of entropy and stochastic processes, especially Gaussian processes, and its applications to information theory.The contents fall roughly into two parts. In the first part a unified treatment of entropy in information theory, probability theory and mathematical statistics is presented. The second part deals mostly with information theory for continuous communication systems. Particular emphasis is placed on the Gaussian channel.An advantage of this book is that, unlike most books on information theory, it places emphasis on continuous communication systems, rather than discrete ones.