This chapter starts by reviewing important concepts from probability theory and stochastic processes. Subsequent chapters on probabilistic input and structural uncertainty make heavy use of random vectors and vector-valued stochastic process, so the reader should be familiar with the material included on these concepts. Next, the chapter provides a review of set-theoretic notions. The material on sets in Euclidean space included in this part is key to understanding the set-theoretic approach to input uncertainty modeling. The chapter concludes with a review of several fundamental concepts from the theory of discrete- and continuous-time linear dynamical systems.