The problem of establishing the correct approach to complexity is a very hot and crucial issue to which this dissertation gives some contributions. This dissertation considers two main possibilities, one, advocated by Tsallis and co-workers, setting the foundation of complexity on a generalized, non-extensive , form of thermodynamics, and another, proposed by the UNT Center for Nonlinear Science, on complexity as a new condition that, for physical systems, would be equivalent to a state of matter intermediate between dynamics and thermodynamics. In the first part of this dissertation, the concept of Kolmogorov-Sinai entropy is introduced. The Pesin theorem is generalized in the formalism of Tsallis non-extensive thermodynamics. This generalized form of Pesin theorem is used in the study of two major classes of problems, whose prototypes are given by the Manneville and the logistic map respectively. The results of these studies convince us that the approach to complexity must be made along lines different from those of the non-extensive thermodynamics. We have been convinced that the Lévy walk can be used as a prototype model of complexity, as a condition of balance between order and randomness that yields new phenomena such as aging, and multifractality. We reach the conclusions that …