CALCULATION OF PARAMETER-DEPENDENT INTEGRAILS BY MONTE-CARLO METHODS

Abstract

The article explores the application of the Monte Carlo method to numerical integration problems. It provides a detailed algorithm for calculating parameterdependent integrals and presents an example demonstrating the method usage. This method allows for the efficient calculation of "corrections" rather than the entire problem. Additionally, reducing the variance can be crucial. To conduct numerical experiments, a program code was written in DEV C++ for calculating parameterdependent integrals. Quantitative experiments have demonstrated the effectiveness of the obtained estimates.