Alternating direction implicit methods for parabolic equations with a mixed derivative

Abstract

Alternating direction implicit (ADI) schemes for two-dimensional parabolic equations with a mixed derivative are constructed by using the class of all A sub 0-stable linear two-step methods in conjunction with the method of approximation factorization. The mixed derivative is treated with an explicit two-step method which is compatible with an implicit A sub 0-stable method. The parameter space for which the resulting ADI schemes are second order accurate and unconditionally stable is determined. Some numerical examples are given.