Compact finite difference method for integro-differential equations

In this paper, we give sixth order compact finite difference formula for second order integro-differential equations (IDE) with different boundary conditions, and both of error estimates and numerical experiments confirm our compact finite difference method can get fifth order of accuracy. We also adjust compact finite difference method for first order IDE and a system of IDE and give numerical experiments for them. Our algorithm even can solve nonlinear IDE and unsplit kernel of IDE. The most advantages of compact finite difference method for IDE are that it obtains high order of accuracy, while the time complexity to solve the matrix equations after we use compact finite difference method on IDE is O(N), and it can solve very general case of IDE. (c) 2005 Elsevier Inc. All rights reserved.