A New Difference Scheme for Parabolic Problems

Abstract

This chapter discusses a new difference scheme for parabolic mixed initial-boundary value problems in one space dimension. The scheme has a number of very desirable features. It is simple, easy to program, and efficient. It is unconditionally stable and has second order accuracy with nonuniform nets. Richardson or h → 0 extrapolation is valid and yields two orders of accuracy improvement per extrapolation (with nonuniform nets). It is A-stable as well, that is, if the exact solution decays in time, so does the numerical scheme, with approximately the same rate; the data, coefficients, and solution need only be piecewise smooth and all the above remain valid. The method is also applicable to parabolic systems, to nonlinear parabolic equations, and even to some hyperbolic systems with special properties. The chapter presents the method, indicates the error estimates, h → 0 extrapolation and discusses an efficient algorithm for its application to the problem.

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