On the Crank-Nicolson procedure for solving parabolic partial differential equations

Abstract

ABSTRACTProof of convergence of the Crank-Nicolson procedure, an ‘implicit’ numerical method for solving parabolic partial differential equations, is given for the case of the classical ‘problem of limits’ for one-dimensional diffusion with zero boundary conditions. Orders of convergence are also given for different classes of initial functions. Results do not support the validity of so-called h2-extrapolation in some cases.