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Monotonicity condition for the $\theta$-scheme for diffusion equations

  • J. Frederic Bonnans


    (INRIA Saclay - Ile de France - Commands - INRIA - CNRS : UMR7641 - Polytechnique - X - ENSTA ParisTech, CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique - Polytechnique - X - CNRS : UMR7641)

  • Xiaolu Tan

    (CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique - Polytechnique - X - CNRS : UMR7641)

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    We derive the necessary and sufficient condition for the $L^{\infty}-$monotonicity of finite difference $\theta$-scheme for a diffusion equation. We confirm that the discretization ratio $\Delta t = O(\Delta x^2)$ is necessary for the monotonicity except for the implicit scheme. In case of the heat equation, we get an explicit formula, which is weaker than the classical CFL condition.

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    Paper provided by HAL in its series Working Papers with number inria-00634417.

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    Date of creation: 21 Oct 2011
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    Handle: RePEc:hal:wpaper:inria-00634417
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