340 11 Outline of the Monte Carlo Strategy
Also of interest to us is thecumulative probability distribution function (CDF),P(x), which
is just the probability for a stochastic variableXto assume any value less thanx
P(x) =Prob(X≤x) =
∫x
−∞
p(x′)dx′
The relation between a CDF and its corresponding PDF is then
p(x) =
d
dx
P(x)
There are two properties that all PDFs must satisfy. The firstone is positivity (assuming
that the PDF is normalized)
0 ≤p(x)≤ 1
Naturally, it would be nonsensical for any of the values of the domain to occur with a proba-
bility greater than 1 or less than 0. Also, the PDF must be normalized. That is, all the proba-
bilities must add up to unity. The probability of “anything”to happen is always unity. For both
discrete and continuous PDFs, this condition is
∑
xi∈D
p(xi) = 1
∫
x∈D
p(x)dx= 1
In addition to the exponential distribution discussed above, there are two other continuous
PDFs that are especially important. The first one is the most basic PDF; namely the uniform
distribution
p(x) =
1
b−a
θ(x−a)θ(b−x) (11.1)
with:
θ(x) = 0 x< 0
θ(x) = 1 x≥ 0
The second one is the Gaussian Distribution, often called the normal distribution
p(x) =
1
σ
√
2 π
exp(−
(x−μ)^2
2 σ^2
)
Leth(x)be an arbitrary function on the domain of the stochastic variableXwhose PDF is
p(x). We define theexpectation valueofhwith respect topas follows
〈h〉X≡
∫
h(x)p(x)dx (11.2)
Whenever the PDF is known implicitly, like in this case, we will drop the indexXfor clarity.
A particularly useful class of special expectation values are themoments. Then-th moment
of the PDFpis defined as follows
〈xn〉≡
∫
xnp(x)dx
The zero-th moment〈 1 〉is just the normalization condition ofp. The first moment,〈x〉, is called
themeanofpand often denoted by the letterμ
〈x〉=μ≡
∫
xp(x)dx