科研之友
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摘要
A novel Exponential Time Differencing 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.
- 出版日期2012-7
