ADI orthogonal spline collocation methods for parabolic partial integro-differential equations

Abstract

Alternating direction implicit (ADI) orthogonal spline collocation schemes are formulated and analysed for a class of partial integro-differential equations of parabolic type. These techniques are based on the θ-method, for θ ∈ [1/2, 1], (where θ = 1 yields the backward Euler method and θ = 1/2 yields the Crank-Nicolson method) and the second-order backward differentiation formula (BDF) method. For each method, optimal estimates in various norms at each time step are derived and confirmed by results of numerical experiments.