This subject introduces the students into the problems of stochastic processes and their modelling. It comprises the basics of description the dynamic systems in the form of regression, state-space and categorical models. Further, a model of mixture of Gaussian and categorical components is introduced. Possibilities of its estimation as well as its usage, especially in clustering and classification, is discussed. Several examples of specific applications using the models for prediction and control in situations under uncertainty will be demonstrated. The applications will concern transportation problems.