The Monte-Carlo Method (Little Mathematics Library) | I. M. Sobol

Everybody had at some moment used the words âprobabilityâ and ârandom variableâ. The intuitive idea of the probability (considered as frequency) corresponds more or less to the true meaning of this concept. But as a rule the intuitive idea of the random variable differs quite considerably from the mathematical definition. Thus, the notion of the probability is assumed known in Sec. 2, and only the more complicated notion of the random variable is clarified. This section cannot replace a course in the probability theory: the presentation is simplified and proofs are omitted. But it still presents certain concept of the random variables sufficient for understanding of Monte Carlo techniques. The basic aim of this book is to prompt the specialists in various branches of knowledge to the fact that there are problems in their fields that can be solved by the Monte Carlo method.