  The recent discoveries of high-energy cosmic neutrinos and gravitational
waves from astrophysical objects have led to the new era of multi-messenger
astrophysics. In particular, electromagnetic follow-up observations triggered
by these cosmic signals proved to be highly successful and brought about new
opportunities in the time-domain astronomy. Here we review high-energy particle
production in various classes of astrophysical transient phenomena related to
black holes and neutron stars, and discuss how high-energy emission can be used
to reveal the underlying physics of neutrino and gravitational-wave sources.
