Three-layer finite difference method for solving linear differential algebraic systems of partial differential equations

A boundary value problem is examined for a linear differential algebraic system of partial differential equations with a special structure of the associate matrix pencil. The use of an appropriate transformation makes it possible to split such a system into a system of ordinary differential equations, a hyperbolic system, and a linear algebraic system. A three-layer finite difference method is applied to solve the resulting problem numerically. A theorem on the stability and the convergence of this method is proved, and some numerical results are presented.