... Integration of Ordinary Differential Equations 16.0 IntroductionProblems involving ordinary differentialequations (ODEs) can always bereduced to the study of sets of first-order differential equations. ... auxiliary variables.The generic problem in ordinary differentialequations is thus reduced to thestudy of a set of N coupled first-order differentialequations for the functionsyi,i=1,2, ,N, having ... 1973,Computational Methods in Ordinary Differential Equations (New York: Wiley).Lapidus, L., and Seinfeld, J. 1971,Numerical Solution of Ordinary Differential Equations (NewYork: Academic Press).16.1...
... 1973,Computational Methods in Ordinary Differential Equations (New York: Wiley).Lapidus, L., and Seinfeld, J. 1971,Numerical Solution of Ordinary Differential Equations (NewYork: Academic Press).16.1 ... 710Chapter 16. Integration of Ordinary Differential Equations Sample page from NUMERICAL RECIPES IN C: THE ART OF SCIENTIFIC COMPUTING (ISBN 0-521-43108-5)Copyright ... that derive from this basic712Chapter 16. Integration of Ordinary Differential Equations Sample page from NUMERICAL RECIPES IN C: THE ART OF SCIENTIFIC COMPUTING (ISBN 0-521-43108-5)Copyright...
... generally useful stepperroutine is this: One of the arguments of the routine will of course be the vector of dependent variables at the beginning of a proposed step. Call that y[1 n].Letus require ... ,n−1y(x+H)≈yn≡12[zn+zn−1+hf(x + H, zn)](16.3.2)714Chapter 16. Integration of Ordinary Differential Equations Sample page from NUMERICAL RECIPES IN C: THE ART OF SCIENTIFIC COMPUTING (ISBN 0-521-43108-5)Copyright ... informationcan beobtained. Obviously,720Chapter 16. Integration of Ordinary Differential Equations Sample page from NUMERICAL RECIPES IN C: THE ART OF SCIENTIFIC COMPUTING (ISBN 0-521-43108-5)Copyright...
... 722Chapter 16. Integration of Ordinary Differential Equations Sample page from NUMERICAL RECIPES IN C: THE ART OF SCIENTIFIC COMPUTING (ISBN 0-521-43108-5)Copyright ... Initial Value Problems in Ordinary Differential Equations (EnglewoodCliffs, NJ: Prentice-Hall). [1]Cash, J.R., and Karp, A.H. 1990,ACM Transactions on Mathematical Software, vol. 16, pp. 201–222. ... modified midpoint method, which advances a vector of dependent variables y(x) from a point x to a point x + H by a sequence of nsubsteps each of size h,h = H/n (16.3.1)In principle, one could...
... extrapolate eachcomponent of a vector of quantities.728Chapter 16. Integration of Ordinary Differential Equations Sample page from NUMERICAL RECIPES IN C: THE ART OF SCIENTIFIC COMPUTING (ISBN ... methoda degree of robustness for problems with discontinuities.Let us remind you once again that scaling of the variables is often crucial forsuccessful integration ofdifferential equations. The ... ordinary differentialequations with minimal computational effort. (A possibleexception, infrequently encountered in practice, is discussed in §16.7.)726Chapter 16. Integration of Ordinary Differential...
... Second-Order Conservative Equations Usually when you have a systemof high-order differentialequations to solve it is bestto reformulate them as a systemof first-order equations, as discussed ... vol. 27, pp. 505–535.16.6 Stiff Sets of Equations As soon as one deals with more than one first-order differential equation, thepossibility of a stiff set ofequations arises. Stiffness occurs ... compatibility with bsstep the arrays y and d2y are of length 2n for a system of n second-order equations. The values of y arestoredinthefirstnelements of y,while the first derivatives are stored in...
... compatibility with bsstep the arrays y and d2y are of length 2n for a system of n second-order equations. The values of y arestoredinthefirstnelements of y,while the first derivatives are stored in ... vol. 27, pp. 505–535.16.6 Stiff Sets of Equations As soon as one deals with more than one first-order differential equation, thepossibility of a stiff set ofequations arises. Stiffness occurs ... form of the midpoint rule:yn+1− yn−1=2hfyn+1+ yn−12(16.6.29)738Chapter 16. Integration of Ordinary Differential Equations Sample page from NUMERICAL RECIPES IN C: THE ART OF SCIENTIFIC...
... Problems in Ordinary Differential Equations (EnglewoodCliffs, NJ: Prentice-Hall), Chapter 9. [1]Shampine, L.F., and Gordon, M.K. 1975,Computer Solution of Ordinary Differential Equations. The Initial ... adjustingthe stepsize is difficult.748Chapter 16. Integration of Ordinary Differential Equations Sample page from NUMERICAL RECIPES IN C: THE ART OF SCIENTIFIC COMPUTING (ISBN 0-521-43108-5)Copyright ... been, we think, squeezed752Chapter 16. Integration of Ordinary Differential Equations Sample page from NUMERICAL RECIPES IN C: THE ART OF SCIENTIFIC COMPUTING (ISBN 0-521-43108-5)Copyright...
... collection of events, sigma-algebraAfiltrationE(X) expectation of XE(X |A) conditional expectation of X under AP (A) probability of AP (A |B) probability of A conditioned on B∈ element of ∈ ... context of derivative pricing.The book does not claim to be a complete account of the state of theart of the subject. Rather it attempts to provide a systematic framework foran understanding of ... order of strong convergence from γ =0.5toγ =1.0. Nonethe-less, the order of weak convergence of the Milstein scheme equals β =1.0,which is not an improvement over the order of weak convergence of...