An ETD Crank-Nicolson Method for Reaction-Diffusion Systems
نویسندگان
چکیده
A novel Exponential Time Differencing (ETD) Crank-Nicolson method is developed which is stable, second order convergent, and highly efficient. We prove stability and convergence for semilinear parabolic problems with smooth data. In the nonsmooth data case we employ a positivity-preserving initial damping scheme to recover the full rate of convergence. Numerical experiments are presented for a wide variety of examples, including chemotaxis and exotic options with transaction cost.
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تاریخ انتشار 2011