Analysis of Two-Level Mesh Method for Partial Integro-Differential Equation

Abstract

In this paper, we present two-level mesh scheme to solve partial integro-differential equation. The proposed method is based on a finite difference method. For the first step, we use finite difference method in time and global radial basis function (RBF) finite difference (FD) in space. For the second step, we use the finite difference method to solve the proposed problem. This two-level mesh scheme is obtained by combining the radial basis function with finite difference. We prove the stability and convergence of scheme and show that the convergence order is O τ 2 + h 2 , where τ and h are the time step size and space step size, respectively. The results of numerical examples are compared with analytical solutions to show the efficiency of proposed scheme. The numerical results are in good agreement with theoretical ones.