Euler's Method
We'll consider a first order IVP of the form
with the goal of numerically estimating the solution on a finite time interval for some
First we'll establish this is a reasonable thing to do.
Consider the IVP
Suppose that is continuous in its domain and @Lipschitz continuous in , i.e., there exists a constant such that
Then it holds that:
- Existence and Uniqueness: There exists a unique solution for any
- Continuous Dependence on initial data and right hand side: Suppose is a bounded @perturbation of i.e. there exists a constant such that Further let be the solution of the perturbed IVP which we assume exists and is unique. Then we have
Now that we've established that IVPs are well posed, we can look at how to approximate our unknown function at a discrete set of points in time.
Consider a @partition of the time interval We can call the points the discrete time points. Then our goal is to approximate the values with a set of quantities that is, for We can also write to denote the step size (also: time step) between between consecutive points. For simplicity we often assume that for all i.e. the time steps are constant. Such a mesh is called a @uniform mesh.