A finite difference method with non-uniform timesteps for fractional diffusion equations
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consistencyconvergencenumerical examplesstabilityfinite difference methodsfractional diffusion equationsanomalous diffusionnon-uniform meshesadaptive numerical methods
Heat equation (35K05) 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) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50)
Abstract: An implicit finite difference method with non-uniform timesteps for solving the fractional diffusion equation in the Caputo form is proposed. The method allows one to build adaptive methods where the size of the timesteps is adjusted to the behaviour of the solution in order to keep the numerical errors small without the penalty of a huge computational cost. The method is unconditionally stable and convergent. In fact, it is shown that consistency and stability implies convergence for a rather general class of fractional finite difference methods to which the present method belongs. The huge computational advantage of adaptive methods against fixed step methods for fractional diffusion equations is illustrated by solving the problem of the dispersion of a flux of subdiffusive particles stemming from a point source.
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