Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms

Authors:
K. J. in 't Hout;B. D. Welfert
Affiliations:
Department of Mathematics and Computer Science, University of Antwerp, Middelheimlaan 1, B-2020 Antwerp, Belgium;Department of Mathematics and Statistics, Arizona State University, Tempe, AZ 85287, USA
Venue:
Applied Numerical Mathematics
Year:
2009

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Abstract

We consider the unconditional stability of second-order ADI schemes in the numerical solution of finite difference discretizations of multi-dimensional diffusion problems containing mixed spatial-derivative terms. We investigate an ADI scheme proposed by Craig and Sneyd, an ADI scheme that is a modified version thereof, and an ADI scheme introduced by Hundsdorfer and Verwer. Both sufficient and necessary conditions are derived on the parameters of each of these schemes for unconditional stability in the presence of mixed derivative terms. Our main result is that, under a mild condition on its parameter @q, the second-order Hundsdorfer and Verwer scheme is unconditionally stable when applied to semi-discretized diffusion problems with mixed derivative terms in arbitrary spatial dimensions k=2.