This is the first of three volumes which present, in an original way, some of the most important tools of applied mathematics, in areas such as probability theory, operator calculus, representation theory, and special functions, used in solving problems in mathematics, physics and computer science. Volume 1 deals with probability theory in connection with group representation. Volume 2 will consider applications to computer science, and Volume 3 will deal largely with infinite-dimensional representations of Lie algebras and groups. This first volume - "Representations and Probability Theory" - presents an introduction to Lie algebras and Lie groups which emphasises the connections with probability theory and representation theory. The book contains an introduction and seven chapters which treat, respectively, noncommutative algebra, hypergeometric functions, probability and Fock spaces, moment systems, Bernoulli processes/systems, and matrix elements. Each chapter contains exercises which range in difficulty from easy to advanced. The text is written so as to be suitable for self-study for both beginning graduate students and researchers. For students, teachers and researchers with an interest in algebraic structures and operator calculus.