From differential to difference equations for first order ODEs

摘要

When constructing an algorithm for the numerical integration of a differential equation, one should first convert the known ordinary differential equation (ODE) into an ordinary difference equation. Given this difference equation, one can develop an appropriate numerical algorithm. This technical note describes the derivation of two such ordinary difference equations applicable to a first order ODE. The implicit ordinary difference equation has the same asymptotic expansion as the ODE itself, whereas the explicit ordinary difference equation has an asymptotic that is similar in structure but different in value when compared with that of the ODE.