An alternating-direction implicit scheme for parabolic equations with mixed derivatives (Q1108753)

The authors propose two related ADI schemes for N-dimensional parabolic equations \(\partial u/\partial t=Lu\), where L is an elliptic partial differential operator with mixed derivatives. \(L=\sum^{N}_{i- 1}\sum^{N}_{j-1}q_{ij}\partial_ i\partial_ j\) \((\partial_ i=\partial /\partial x_ i)\). The (simpler) first scheme requires the solution of N tridiagonal matrix equations per time step; an alternative scheme (including a single iteration to time-centre the mixed derivatives) requires 2N tridiagonal operations. For both schemes regions of conditional stability are computed in a (\(\theta\),R)-plane, where \(\theta\) is a real parameter that determines the impliciteness of the method and \(R=(\Delta t/\Delta^ 2)\max_{i}(q_{ii})\) (supposing a uniform mesh with \(\Delta x_ i=\Delta\) for \(i=1,...,N)\). In particular it turns out that the iterative scheme allows second order accuracy \((\theta =1/2)\) and unconditional stability for \(N=2\) and \(N=3\).