, Volume 49, Issue 3, pp 487-508
Date: 28 Jul 2009

Splitting methods with complex times for parabolic equations

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Abstract

Using composition procedures, we build up high order splitting methods to solve evolution equations posed in finite or infinite dimensional spaces. Since high-order splitting methods with real time are known to involve large and/or negative time steps, which destabilizes the overall procedure, the key point of our analysis is, we develop splitting methods that use complex time steps having positive real part: going to the complex plane allows to considerably increase the accuracy, while keeping small time steps; on the other hand, restricting our attention to time steps with positive real part makes our methods more stable, and in particular well adapted in the case when the considered evolution equation involves unbounded operators in infinite dimensional spaces, like parabolic (diffusion) equations.

We provide a thorough analysis in the case of linear equations posed in general Banach spaces. We also numerically investigate the nonlinear situation. We illustrate our results in the case of (linear and nonlinear) parabolic equations.

Communicated by Christian Lubich.
Note: Similar results are derived independently by E. Hansen & A. Ostermann in [15].