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Implicit Euler scheme for game chances

Implicit Euler scheme:

Finally, we note that the implicit method of numerical integration is also used then. when the integral in the right-hand side of equation is calculated by the formula of right rectangles.
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To calculate an unknown value, use the iterative method. If, for example, a function with a fixed value has a partial derivative with respect to, and if this derivative in a certain neighborhood of the point satisfies the condition, then the iteration process determined by the formula coincides, and the faster it is, the less. Since the error of method at each step of integration has order, and to solve the equation at each step it is necessary to construct a certain iterative procedure, then in the practice of calculations this method is used very rarely.

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carymay

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2018-08-31
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