Stable numerical schemes for a partly convolutional partial integro-differential equation

A model partial integro-differential operator (PIDO) that contains both local and nonlocal diffusion operators is considered in this article. This type of operators come in modeling various scientific and financial engineering problems. In most cases, people use finite difference schemes to generate solutions of such model problems. We compare and analyze stability and accuracy of two such finite difference schemes. We first present a discrete analogue of the PIDO and then approximate the semi-discrete time dependent problem using two different one step methods and show the stability conditions and the accuracy of the schemes. We use the Fourier transforms throughout our analysis.