Many problems in applied mechanics are reduced to the solutions of systems of nonlinear algebraic, transcendental, differential or integral-differential equations containing an explicit parameter. These are problems in the areas of thermo-fluids, gas dynamics, deformable solids, heat transfer, biomechanics, analytical dynamics, catastrophe theory, optimal control and others. A parameter found in these models is not unique, and may be easily identified as a load, geometric, structural, and physical or can be introduced artificially. An important aspect of these problems is a question of the variation of the solution when parameter is incrementally changed. The method of continuing the solution with respect to the parameter is a natural and universal tool for the analysis. It was originally introduced by Ambarzumian and Chandrasekar, and intensively studied by Bellman, Kalaba and others. Different problems of applied mechanics and physics with dominant nonlinearities due to convective phenomena, constituent models, finite deformation, bifurcation and others are analyzed and solved in the present work.