Monte Carlo Method, Random Number, and Pseudorandom Number

Although the Monte Carlo method is used in so many fields, its mathematical foundation has been weak until now because of the fundamental problem that a computer cannot generate random numbers. This book presents a strong mathematical formulation of the Monte Carlo method which is based on the theory of random number by Kolmogorov and others and that of pseudorandom number by Blum and others. As a result, we see that the Monte Carlo method may not need random numbers and pseudorandom numbers may suffice. In particular, for the Monte Carlo integration, there exist pseudorandom numbers which serve as complete substitutes for random numbers.

Product details

• Authors: Hiroshi Sugita
• Publisher: Mathematical Society of Japan
• Languages: English
• Product format: Paperback / Softback
• Released: 01.05.2011
• EAN: 9784931469655
• ISBN: 978-4-931469-65-5
• No. of pages: 148
• Dimensions: 173 mm x 246 mm x 10 mm
• Weight: 295 g
• Series: Mathematical Society Of Japan Memoirs; Mathematical Society of Japan; Mathematical Society Of Japan Memoirs
• Subject: Natural sciences, medicine, IT, technology > Mathematics > Probability theory, stochastic theory, mathematical statistics