Finite difference methods and their convergence for a class of singular two point boundary value problems

Summary We discuss the construction of three-point finite difference approximations and their convergence for the class of singular two-point boundary value problems: (x y)=f(x,y), y(0)=A, y(1)=B, 0<<1. We first establish a certain identity, based on general (non-uniform) mesh, from which various methods can be derived. To obtain a method having order two for all (0,1), we investigate three possibilities. By employing an appropriate non-uniform mesh over 0,1], we obtain a methodM ₁ based on just one evaluation off. For uniform mesh we obtain two methodsM ₂ andM ₃ each based on three evaluations off. For =0,M ₁ andM ₂ both reduce to the classical second-order method based on one evaluation off. These three methods are investigated, theirO(h ²)-convergence established and illustrated by numerical examples.