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The main purpose of this paper is to give a review on recent advances of wavelet in probability and statistics. Many interesting new ideas, new results and new methods are introduced in this review. From many aspects of this paper, probability and statistics researchers may rind many new interesting research topics for further studying on wavelets in stochastic processes. New results, such as K- stationarity, wavelet representation of Karhunen processes,hidden periodicities analysis by wavelet approach, heteroscedasticity in wavelet regression, wavelets and neural networks, etc. are introduced in this paper. Comments, discussions and plentiful references are also involved in this review.``