Volume no :5, Issue no: 2, July 2010

Journal of Mathematical Sciences: Advances and Applications

A MODIFIED STOCHASTIC SIMULATION METHOD AND ITS APPLICATION

Author's: Famei Zheng
Pages: [251] - [266]
Received Date: June 10, 2010
Submitted by:

Abstract

Based on a method of producing n-dimensional random number, we give a modified Monte Carlo method of minimum error in theory according to law of large numbers and variance analysis, and the correctness and the effectiveness of this method is validated by several examples about the integration.

Keywords

random number, law of large numbers, variance, Monte Carlo method, integration numerical experiment.