ABSTRACT
This chapter discusses a historical perspective to the origination of two of the main computational tools used in stochastic analysis: the Monte Carlo methods and the stochastic calculus. Monte Carlo is a city in the tiny Principality of Monaco on the Mediterranean Sea, well known for its famous casino. It attracts a lot of celebrities and avid gamblers. One of them is the uncle of Stanislaw Ulam, a famous computational physicist from Los Alamos National Laboratories in the USA. Rudolf Emil Kalman is a member of the National Academy of Sciences (USA), the National Academy of Engineering (USA), and the American Academy of Arts and Sciences (USA). He is a foreign member of the Hungarian, French, and Russian Academies of Science. The theory of deterministic or stochastic differential equations (SDE) plays a crucial role in pure and applied mathematics, as well as in physics, biology, finance, and engineering sciences.
