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Posted by Joseph Wang on Jan 03, 2005; 11:11pm
URL: http://quantlib.414.s1.nabble.com/More-information-tp3473.html

Playing a bit with the function.

The very strange thing is that I get a numerical instability if I set
nu=0.  This means that the problem has nothing to do with the advection
term.  It is odd since a pure diffusion equation really shouldn't be
unstable under the Crank-Nichoson solver.