Higher-order Adaptive Finite Difference Methods for Fully Nonlinear Elliptic Equations

Abstract

We introduce generalised finite difference methods for solving fully nonlinear elliptic partial differential equations. Methods are based on piecewise Cartesian meshes augmented by additional points along the boundary. This allows for adaptive meshes and complicated geometries, while still ensuring consistency, monotonicity, and convergence. We describe an algorithm for efficiently computing the non-traditional finite difference stencils. We also present a strategy for computing formally higher-order convergent methods. Computational examples demonstrate the efficiency, accuracy, and flexibility of the methods.