Let X be a random variable on (0,1) whose density is f(x). Show that we can estimate  by s...

Let X be a random variable on (0,1) whose density is f(x). Show that we can estimate  by simulating X and then taking g(X) / f(X) as our estimate. This method, called importance sampling, tries to choose f similar in shape to g, so that g(X) / f(X) has a small variance.