Module 2: Single Step Methods
  Lecture 6: Improvement of the error bound
 

 

By Taylor's formula, the expression in the brackets can be written as

where is a value between and .

We now divide (2.11) by h and introduce the quantities

, and thus (2.11) can now be written in the form

(2.12)

where and is a constant

Define the function

we can look at (2.12) as the result of applying Euler's method to the solution of a new differential equation for a function

(2.13)

making at each step an additional error not exceeding . The initial value is zero, because .