Convergence of the Grünwald-Letnikov scheme for time-fractional diffusion (Q885938)

Convergence of the Grünwald-Letnikov difference scheme for the fractional diffusion equation [cf. \textit{R. Gorenflo} and \textit{F. Mainardi}, Oper. Theory, Adv. Appl. 121, 120--145 (2001; Zbl 1007.60082)], with and without central linear drift, is proved in the Fourier-Laplace domain, implying weak convergence of the discrete solution towards the probability of sojourn of a diffusing particle. For the proof of convergence the authors distinguish between several cases, including classical diffusion, space-time fractional diffusion and time-fractional diffusion. The paper focuses on time-fractional diffusion. Discretisation is discussed and convergence to the corresponding fundamental solution is proved. Generating functions are used in the Fourier-Laplace domain. Convergence is proved for classical diffusion with central linear drift and for time-fractional diffusion with central linear drift.