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## Solution for Cauchy Problem

**From**: |
Klaus Duellmann |

**Subject**: |
Solution for Cauchy Problem |

**Date**: |
Fri, 13 Nov 98 16:26:02 |

I wonder if an implicit scheme solution in the form of an Octave
program already
exists for the follwong parabolic pde:
Find f in C^2,1 solving
df/dt + a df/dx + 1/2 b^2 d^2f/dx^2 + c f = 0
where - f, a, b and c are functions of x and t
- x real, t in [0, T[
with a boundary condition f(x,T) = g(x).
A solution for an extended problem where x is no longer a scalar
but a two-dimensional vector would
be even more helpful.
If somebody has a code (e.g. a Crank-Nicholson scheme) I would be
really grateful because this would save me some time at a crucial
moment. Thanks a lot in advance!
Klaus
e-mail: address@hidden
Please remove xxx from my mail-address

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**Solution for Cauchy Problem**,
*Klaus Duellmann* **<=**