We present a general method of solving the Cauchy problem for a linear parabolic partial differential equation of evolution type with variable coefficients and demonstrate it on the equation with derivatives of orders two, one and zero. The method is based on the Chernoff approximation procedure applied to a specially constructed shift operator. It is proven that approximations converge uniformly to the exact solution.
Keywords:Cauchy problem, linear parabolic PDE, approximate solution, shift operator, Chernoff theorem, numerical method 2000 MSC: 35A35, 35C99, 35K15, 35K30
Problem setting and approach proposedConsider x ∈ R 1 , t ≥ 0 and set the Cauchy problem for a second-order parabolic partial differential equationThe coefficients a, b, c, u 0 above are bounded, uniformly continuous functions R 1 → R 1 . This paper is dedicated to deriving of an explicit formula