A finite difference method for fractional diffusion equations with Neumann boundary conditions
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implicit Euler schemeNeumann boundary conditionsfractional order diffusionnonlocal derivativeGrünwald-Letnikov formula
Initial value problems for second-order parabolic equations (35K15) Fractional partial differential equations (35R11) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Theoretical approximation in context of PDEs (35A35)
Abstract: A finite difference numerical method is investigated for fractional order diffusion problems in one space dimension. For this, a mathematical model is developed to incorporate homogeneous Dirichlet and Neumann type boundary conditions. The models are based on an appropriate extension of the initial values. The well-posedness of the obtained initial value problems is proved and it is pointed out that the extensions are compatible with the above boundary conditions. Accordingly, a finite difference scheme is constructed for the Neumann problem using the shifted Gr"unwald--Letnikov approximation of the fractional order derivatives, which is based on infinite many basis points. The corresponding matrix is expressed in a closed form and the convergence of an appropriate implicit Euler scheme is proved.
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