Numerical Solution Partial Differential Equations using the Discrete Fourier Transform

Abstract: In this paper we explain how to use the Fast Fourier Transform (FFT) to solve partial differential equations (PDEs). We start by defining appropriate discrete domains in coordinate and frequency domains. Then describe the main limitation of the method arising from the Sampling Theorem, which defines the critical Nyquist frequency and the aliasing effect. We then define the Fourier Transform (FT) and the FFT in a way that can be implemented in one and more dimensions. Finally, we show how to apply the FFT in the solution of PDEs related to problems involving two spatial dimensions, specifically the Poisson equation, the diffusion equation and the wave equation for elliptic, parabolic and hyperbolic cases respectively.