A Technique for High{order Treatment of Diffusion Terms in Semi{lagrangian Schemes
نویسنده
چکیده
Version: September 12, 2000 Abstract. We consider in this paper a semi{Lagrangian technique to treat advection{di usion equations. The scheme is based on a stochastic representation formula for the solution which allows to avoid the splitting between advective and di usive part of the evolution operator. This results in a somewhat reduced computational complexity, as well as the possibility to achieve higher consistency rates. A general theoretical analysis is carried out in the paper, and numerical tests are presented.
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