A three‐point time discretization technique for parabolic partial differential equations

The Crank–Nicolson scheme has second‐order accuracy, but often leads to oscillations affecting numerical stability. On the other hand, the implicit scheme is free from oscillation, but it has only first‐order accuracy. In this work, a three‐point discretization scheme with variable time step is presented for the time marching of parabolic partial differential equations. The method proposed has second‐order accuracy, is unconditionally stable and dampens spurious oscillations of the numerical results. The application and effectiveness of the new method are demonstrated through several numerical examples. It is shown that, unlike the Crank–Nicolson method, the approach proposed produces no oscillatory response irrespective of the time step adopted. Copyright © 2010 John Wiley & Sons, Ltd.