No, he’s reading it correctly. It randomly samples from the distribution, not from the time-sequence. And that isn’t a good idea. But this Monte Carlo simulator is still better than the others I’ve looked at. I’m surprised, given the amount of money at stake, that I haven’t seen a personal finance simulator that doesn’t completely suck.
You seem to be reading “non-Markovian” as “Markovian.”
No, he’s reading it correctly. It randomly samples from the distribution, not from the time-sequence. And that isn’t a good idea. But this Monte Carlo simulator is still better than the others I’ve looked at. I’m surprised, given the amount of money at stake, that I haven’t seen a personal finance simulator that doesn’t completely suck.
See Vaniver’s answer below.
I was surprised by your use of “non-Markovian,” by the way, because this seems like a Markovian model to me.