Analysis and implementation of numerical methods for random processes: random number generators, Monte Carlo methods, Markov chains, stochastic differential equations, and applications. Recommended ...

This is a preview. Log in through your library . Abstract The concepts of convergence, consistency and stability are given very general definitions that are applicable to any numerical computation.

The numerical computation of a multivariate normal probability is often a difficult problem. This article describes a transformation that simplifies the problem and places it into a form that allows ...