Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2010/iii/paper-63/5/3/solution

The Padé approximant of the exponential is . Replacing each exponential in its original order gives the split Crank-Nicolson method
with the analogous definition for . Operationally, first solve the substep and then the substep. The matrices , are invertible for every , since are symmetric negative definite.
An orthonormal eigenbasis of diagonalizes . Its eigenvalue for is
Therefore , and similarly . Submultiplicativity gives the contractivity of split Crank-Nicolson diffusion:
No commutativity or simultaneous diagonalization is needed for this product bound. This proves unconditional discrete stability, not positivity of every stencil weight or unconditional maximum-norm monotonicity. Nor do the individually second-order rational substeps make the ordered splitting second order: when , its leading splitting defect remains .

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