Since the normal distribution occurs frequently in economic and financial modeling, one often needs a method to transform low-discrepancy sequences from the uniform distribution to the normal distribution. Two well known methods used with pseudorandom numbers are the Box–Muller and the inverse ...
Box, G. E. P. and Muller, M. E. "A Note on the Generation of Random Normal Deviates."Ann. Math. Stat.29, 610-611, 1958. Referenced on Wolfram|Alpha Box-Muller Transformation Cite this as: Weisstein, Eric W."Box-Muller Transformation." FromMathWorld--A Wolfram Web Resource.https:/...