Efficient solver for a special class of convection-diffusion problems

Abstract

We describe an exact and highly efficient numerical algorithm for solving a special but important class of convection-diffusion equations. These equations occur in many problems in physics, chemistry, or biology, and they are usually hard to treat due to the presence of a convection term, represented by a first order derivative in the spatial co-ordinate. Our algorithm reduces the convection-diffusion equation to a pure diffusion problem within a complex-valued potential which can be solved efficiently and accurately using conventional parabolic partial differential equation solvers.