Numerical approximation to the fractional derivative operator (Q2510404)

This paper deals with the numerical approximation of \(A^{\alpha}\) with \(0< \alpha < 1\), where \(A\in {\mathbb R}^{n\times n}\) is a lower triangular banded Toeplitz matrix. The author is mainly interested in the case that \(A\) is a discretization of the first derivative by a backward differentiation formula. Hence \(A^{\alpha}\) is a discretization of a fractional derivative operator. The approach is based on a Gauss-Legendre approximation of a contour integral representation of \(A^{\alpha}\). In the case \(\alpha = \frac{1}{2}\), \textit{N. Hale} et al. [SIAM J. Numer. Anal. 46, No. 5, 2505--2523 (2008; Zbl 1176.65053)] have used the trapezoidal rule for numerical approximation of the contour integral. An error analysis is given, too. The results are applied to solving fractional differential equations. Numerical examples illustrate the results.