Numerical Partial Differential Equations: Finite Difference Methods

This is a book that approximates the solution of parabolic, first order hyperbolic and systems of partial differential equations using standard finite difference schemes (FDM). The theory and practice of FDM is discussed in detail and numerous practical examples (heat equation, convection-diffusion) in one and two space variables are given. In particular, Alternating Direction Implicit (ADI) methods are the standard means of solving PDE in 2 and 3 dimensions. In almost all cases model problems are taken in order to show how the schemes work for initial value problems, initial boundary value problem with Dirichlet and Neumann boundary conditions. This book is a *must* for those in science, engineering and quantitative financial analysis. It digs into the nitty-gritty of mapping a PDE to a FDM scheme while taking nasty boundary conditions into consideration. The resulting algorithms are documented are are easily programmed in C++ or other language. The book does not cover topics that are also important: operator splitting (Marchuk/Janenko), non-constant coefficient PDEs, nonlinearities. Finally, the book uses von Neumann analysis as a means of proving stability (getting a bit long in the tooth). There are more robust methods that use monotone schemes, M-matrices and the maximum principle. You should consult other specialised references. This is Volume I of a two-volume set (Volume II deals with Conversation Laws and first-order hyperbolic as well as Elliptic problems.(...)