Study guide: Finite difference schemes for diffusion processes

Processing math: 100%

$\newcommand{\uex}{{u_{\small\mbox{e}}}} \newcommand{\Aex}{{A_{\small\mbox{e}}}} \newcommand{\half}{\frac{1}{2}} \newcommand{\tp}{\thinspace .} \newcommand{\Oof}[1]{\mathcal{O}(#1)} \newcommand{\dfc}{\alpha} % diffusion coefficient$

Damping of a discontinuity; Crank-Nicolson scheme

Discrete model: $[D_t u = \dfc D_xD_x\overline{u}^t]^n_i$

results in a tridiagonal linear system