In Chapters 2 and 3 we have considered processes in discrete time. In the next three chapters, we deal with processes in continuous time. The methods to be used are essentially similar to those already studied, consideration of transitions occurring between times n and n +1 being replaced by that of transitions occurring in a short time interval (t,t + ∆t). The general theory in continuous time is, however, mathematically appreciably more difficult than that of analogous processes in discrete time and therefore we shall proceed largely through the analysis of particular examples.