A finite difference is a mathematical expression of the form f(x + b) − f(x + a). If a finite difference is divided by b − a, one gets a difference quotient. The approximation of derivatives by finite differences plays a central role in finite difference methods for the numerical solution of differential equations, especially boundary value problems.
In mathematical analysis, operators involving finite differences are studied. A difference operator is an operator which maps a function f to a function whose values are the corresponding finite differences.
An important application of finite differences is in numerical analysis, especially in numerical ordinary differential equations and numerical partial differential equations, which aim at the numerical solution of ordinary and partial differential equations respectively. The idea is to replace the derivatives appearing in the differential equation by finite differences that approximate them. The resulting methods are called finite difference methods.
Common applications of the finite difference method are in computational science and engineering disciplines, such as thermal engineering, fluid mechanics, etc.