Stable second-order finite-difference methods for linear initial-boundary-value problems

Finite-difference methods of second order at the boundary points are presented for problems with one-dimensional second-order hyperbolic and parabolic equations with mixed boundary conditions. These methods do not require information at points outside the region of consideration. The linear stability of the algorithms developed is investigated. Numerical experiments are given for illustrating the accuracy and stability of the methods. Though the focus is on homogeneous boundary conditions, finite-difference methods with nonhomogeneous mixed boundary conditions are also developed. To show the potential of the methods developed, in terms of CPU time, a comparison is made with the Crank-Nicolson method. (C) 2005 Elsevier Ltd. All rights reserved.