A characteristic difference scheme for time-fractional heat equations based on the Crank-Nicholson difference schemes (Q1925389)

Summary: We consider the numerical solution of a time-fractional heat equation, which is obtained from the standard diffusion equation by replacing the first-order time derivative with Riemann-Liouville fractional derivative of order \(\alpha\), where \(0 < \alpha < 1\). The main purpose of this work is to extend the idea on Crank-Nicholson method to the time-fractional heat equations. We prove that the proposed method is unconditionally stable, and the numerical solution converges to the exact one with the order \(O(\tau^2 + h^2)\). Numerical experiments are carried out to support the theoretical claims.