In this chapter we shall look into one particular computational technique that is being used (and misused) extensively in analyzing stochastic systems: the method of Monte Carlo. The material is closely related to that presented in chapter 1, but is of a more technical nature. In later chapters the method will be applied to many special cases of practical interest, but here the attitude is methodological, with some emphasis on computational efficiency.
KeywordsCovariance Stratification Hull
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