$$ \newcommand{\uex}{{u_{\small\mbox{e}}}} \newcommand{\Aex}{{A_{\small\mbox{e}}}} \newcommand{\half}{\frac{1}{2}} \newcommand{\Oof}[1]{\mathcal{O}(#1)} $$

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The Crank-Nicolson scheme; ideas

Idea 1: let the ODE hold at \( t_{n+\half} \) $$ u'(t_{n+\half}) = -au(t_{n+\half})$$

Idea 2: approximate \( u'(t_{n+\half} \) by a centered difference $$ \begin{equation} u'(t_{n+\half}) \approx \frac{u^{n+1}-u^n}{t_{n+1}-t_n} \tag{10} \end{equation} $$

Problem: \( u(t_{n+\half}) \) is not defined, only \( u^n=u(t_n) \) and \( u^{n+1}=u(t_{n+1}) \)

Solution: $$ u(t_{n+\half}) \approx \half(u^n + u^{n+1}) $$

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