In this work we present a general approach for developing high-order compact differencing schemes by utilizing the governing differential equation to help approximate truncation error terms. As an illustrative application we consider the stream-function vorticity form of the Navier Stokes equations, and provide driven cavity results. Some extensions to treat non-constant metric coefficients res...

We derive a new compact high-order finite difference scheme for option pricing in stochastic volatility models. The scheme is fourth order accurate in space and second order accurate in time. To prove results on the unconditional stability in the sense of von Neumann we perform a thorough Fourier analysis of the problem and deduce convergence of our scheme. We present results of numerical exper...

This article presents a family of very high-order non-uniform grid compact finite difference schemes with spatial orders of accuracy ranging from 4th to 20th for the incompressible Navier–Stokes equations. The high-order compact schemes on non-uniform grids developed in Shukla and Zhong [R.K. Shukla, X. Zhong, Derivation of high-order compact finite difference schemes for non-uniform grid using...

The method of difference potentials was originally proposed by Ryaben’kii, and is a generalized discrete version of the method of Calderon’s operators. It handles non-conforming curvilinear boundaries, variable coefficients, and non-standard boundary conditions while keeping the complexity of the solver at the level of a finite-difference scheme on a regular structured grid. Compact finite diff...

Keywords: Compact schemes Finite difference method Burgers' equation Low-storage Runge–Kutta scheme a b s t r a c t A numerical solution of the one-dimensional Burgers' equation is obtained using a sixth-order compact finite difference method. To achieve this, a tridiagonal sixth-order compact finite difference scheme in space and a low-storage third-order total variation diminishing Runge–Kutt...

[1] How to reduce the horizontal pressure gradient error is a key issue in terrain-following coastal models. The horizontal pressure gradient splits into two parts, and incomplete cancellation of the truncation errors of those parts cause the error. Use of the finite volume discretization leads to a conserved scheme for pressure gradient computation that has better truncation properties with hi...