PARABOLIC APPROXIMATIONS OF THE CONVECTION-DIFFUSION EQUATION

We propose an approximation of the convection-diffusion operator which consists in the product of two parabolic operators. This approximation is much easier to solve than the full convection-diffusion equation, which is elliptic in space. We prove that this approximation is of order three in the viscosity and that the classical parabolic approximation is of order one in the viscosity. Numerical examples are given to demonstrate the effectiveness of our new approximation.