An Accelerated Splitting-up Method for Parabolic Equations

DOI10.1137/S0036141003437903zbMATH Open1101.35038arXivmath/0412338OpenAlexW2007659692MaRDI QIDQ5470592FDOQ5470592

N. V. Krylov, István Gyöngy

Publication date: 31 May 2006

Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Abstract: We approximate the solution $u$ of the Cauchy problem ${\displaystyle }$ frac{partial}{partial t} u(t,x)=Lu(t,x)+f(t,x), quad (t,x)in(0,T] imes�R^d, ${\displaystyle }$ ${\displaystyle }$ u(0,x)=u_0(x),quad xin�R^d ${\displaystyle }$ by splitting the equation into the system ${\displaystyle }$ frac{partial}{partial t} v_r(t,x)=L_rv_r(t,x)+f_r(t,x), qquad r=1,2,...,d_1, ${\displaystyle }$ where $L,L_r$ are second order differential operators, $f$, $f_r$ are functions of $t,x$, such that $L=su{m}_r{L}_r$, $f=su{m}_r{f}_r$. Under natural conditions on solvability in the Sobolev spaces $W_p^m$, we show that for any $k>1$ one can approximate the solution $u$ with an error of order $delt{a}^k$, by an appropriate combination of the solutions $v_r$ along a sequence of time discretization, where $delta$ is proportional to the step size of the grid. This result is obtained by using the time change introduced in [7], together with Richardson's method and a power series expansion of the error of splitting-up approximations in terms of $delta$.

Full work available at URL: https://arxiv.org/abs/math/0412338

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zbMATH Keywords

Richardson's methodsplitting-upmethod of alternative direction

Mathematics Subject Classification ID

Asymptotic expansions of solutions to PDEs (35C20) Higher-order parabolic equations (35K25)

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