We give an elementary introduction to non-standard analysis and its applications to the theory of stochastic processes. This is based on a joint book with J. E. Fenstad, R. Høegh-Krohn and T. Lindstrøm. In particular we give a discussion of an hyperfinite theory of Dirichlet forms with applications to the study of the Hamiltonian for a quantum mechanical particle in the potential created by a polymer. We also discuss new results on the existence of attractive polymer measures in dimension d (...) ≤ 5, with applications to the (φ 1 2 φ 2 2 )d-mode1 of interacting quantum fields. (shrink)