A second-order accurate numerical method for the two-dimensional fractional diffusion equation

DOI10.1016/J.JCP.2006.05.030MaRDI QIDQ868244zbMATH OpenOpenAlexFDO

Authors Charles Tadjeran, Mark M. Meerschaert

Publication date 19 February 2007

Published in Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jcp.2006.05.030

zbMATH Keywords

ADI methodalgorithmalternating directions implicit methodCrank-Nicolson methodextrapolationGrünwald formulaspace-fractional diffusion equation

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Integro-partial differential equations (45K05) 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) Numerical methods for integral equations (65R20)

Review text

The paper is devoted to a study of a numerical method for space-fractional diffusion equations in two space dimensions, with the differential operators being of Riemann-Liouville type. In contrast to the common practice, the authors impose classical Dirichlet boundary conditions. Moreover they always assume that the unknown solutions are sufficiently well behaved for the analysis of the numerical scheme to go through, without discussing concrete conditions under which this assumption is satisfied. The algorithm itself is based on a shifted Grünwald approximation of the fractional space derivatives, combined in an alternating direction implicit fashion with a Crank-Nicolson approach for the first-order time derivative. The result is (under the unspecified conditions) an unconditionally stable method with second order accuracy in time and first order accuracy in space. By adding a Richardson extrapolation step, the accuracy with respect to space can be improved to second order as well.

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