Time Discrete Approximation of Deterministic Differential Equations
In this chapter we summarize the basic concepts and assertions of the numerical analysis of initial value problems for deterministic ordinary differential equations. The material is presented so as to facilitate generalizations to the stochastic setting and to highlight the differences between the deterministic and stochastic cases.
KeywordsEuler Method Initial Value Problem Discretization Error Euler Scheme Roundoff Error
Unable to display preview. Download preview PDF.
- Gear, C. W. (1971). Numerical Initial Value Problems in Ordinary Differential Equations. Prentice-Hall, Englewood Cliffs, NJ.Google Scholar
- Björck, A. and G. Dahlquist (1974). Numerical Methods. Ser. Automatic Computation. Prentice-Hall, New York.Google Scholar
- Stoer, J. and R. Bulirsch (1993). Introduction to Numerical Analysis (2nd ed.). Springer. (first edition (1980)).Google Scholar