The numerical solution of linear time-dependent partial differential equations by the Laplace transform and finite difference approximations

A feasible method is presented for the numerical solution of a large class of linear partial differential equations which may have source terms and boundary conditions which are time-varying. The Laplace transform is used to eliminate the time-dependency and to produce a subsidiary equation which is then solved in complex arithmetic by finite difference methods. An effective numerical Laplace transform inversion algorithm gives the final solution at each spatial mesh point for any specified set of values of t. The single-step property of the method obviates the need to evaluate the solution at a large number of unwanted intermediate time points. The method has been successfully applied to a variety of test problems and, with two alternative numerical Laplace transform inversion algorithms, has been found to give results of good to excellent accuracy. It is as accurate as other established finite difference methods using the same spatial grid. The algorithm is easily programmed and the same program handles equations of parabolic and hyperbolic type.