Fully implicit finite differences methods for two-dimensional diffusion with a non-local boundary condition (Q1298785)

The numerical methods suggested here are the \((5,5)\) Crank-Nicolson method, the \((5,5)\) Noye-Hayman (N-H) implicit method and the \((9,9)\) N-H implicit method. The latter is of fourth-order while the others are of second order. While the implicit methods developed here, like the scheme based on the standard implicit backward time centered space (BTCS) method, use a large amount of central processor (CPU) time, the high accuracy of the new fourth-order fully implicit scheme is significant. Like the BTCS method, the new methods are also unconditionally stable.