This dissertation studies immersed finite elements (IFE) for a second order elliptic operator and their applications to interface problems of related partial differential equations.

We start with the immersed finite element methods for the second order elliptic operator with a discontinuous coefficient associated with the elliptic interface problems. We introduce an energy norm stronger than the one used in [111]. Then we derive an estimate for the IFE interpolation error with this energy norm using patches of interface elements. We prove both the continuity and coercivity of the bilinear form in a partially penalized IFE (PPIFE) method. These properties allow us to derive an error bound for the PPIFE solution in the energy norm under the standard piecewise H2 regularity assumption instead of the more stringent H3 regularity used in [111]. As an important consequence, this new estimation further enables us to show the optimal convergence in the L2 norm which could not be done by the analysis presented in [111].

Then we consider applications of IFEs developed for the second order elliptic operator to wave propagation and diffusion interface problems. The first application is for the time-harmonic wave interface problem that involves the Helmholtz equation with a discontinuous coefficient. We design PPIFE and DGIFE schemes including the higher degree IFEs for Helmholtz interface problems. We present an error analysis for the symmetric linear/bilinear PPIFE methods. Under the standard piecewise H2 regularity assumption for the exact solution, following Schatz's arguments, we derive optimal error bounds for the PPIFE solutions in both an energy norm and the usual L2 norm provided that the mesh size is sufficiently small.

{In the second group of applications, we focus on the error analysis for IFE methods developed for solving typical time-dependent interface problems associated with the second order elliptic operator with a discontinuous coefficient.} For hyperbolic interface problems, which are typical wave propagation interface problems, we reanalyze the fully-discrete PPIFE method in [143]. We derive the optimal error bounds for this PPIFE method for both an energy norm and the L2 norm under the standard piecewise H2 regularity assumption in the space variable of the exact solution. Simulations for standing and travelling waves are presented to corroborate the results of the error analysis. For parabolic interface problems, which are typical diffusion interface problems, we reanalyze the PPIFE methods in [113]. We prove that these PPIFE methods have the optimal convergence not only in an energy norm but also in the usual L2 norm under the standard piecewise H2 regularity.