Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Abstract
MSC Subject Classification: 65C05, 65U05.Monte Carlo methods are a powerful tool in many fields of mathematics, physics and engineering. It is known, that these methods give statistical estimates for the functional of the solution by performing random sampling of a certain chance variable whose mathematical expectation is the desired functional. Monte Carlo methods are methods for solving problems using random variables. In the book [16] edited by Yu. A. Shreider one can find the following definition of the Monte Carlo method
