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Suppose that we know only the function \\(f_1 (x) = K f(x)\\) where \\(f(x)\\) is the density of \\(X.\\)   The author proves the following theorem: suppose there exists a density \\(h(x)\\) and a constant \\(M\\) such that \\(f_1 (x) \\leq M h (x)\\) \\(\\forall x.\\) Let \\(x_k\\) be i.i.d. with common density \\(h\\), \\(U_k\\) be i.i.d. uniformly on \\((0, 1).\\) Let \\(B\\) be given by \\(B = \\{ (x, u): u \\leq f_1(x)/ M h (x) \\}\\) and \\(\\tau\\) be the first \\(m\\) such that \\((X_m, U_m) \\in B\\) and let \\(w = x_\\tau.\\) Then \\(w\\) has density \\(f.\\)   The author considers another method to estimate the integral \\(\\int g(x) p(x)\\,dx.\\) He considers a Markov chain \\(X_n\\) in such way that the given distribution \\(p\\) is the stationary distribution for the chain. If this distribution is unique then \\({1\\over N} \\sum\\limits_{n=1}^N g(x_n) \\to \\int g(x) p(x)\\,dx\\) as \\(n \\to \\infty.\\) This method is called Markov Chain Monte Carlo method. 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