Double exponential quadrature for fractional diffusion (Q2690319)

The study of processes governed by fractional linear operators has gathered significant interest over the last few years with applications ranging from physics to image processing, inverse problems and more. This work introduces a novel discretization technique for both elliptic and parabolic fractional diffusion problems based on double exponential quadrature formulas and the Riesz-Dunford functional calculus. Compared to related schemes, the new method provides faster convergence with fewer parameters that need to be adjusted to the problem. The scheme takes advantage of any additional smoothness in the problem without requiring a-priori knowledge to tune parameters appropriately. The authors prove rigorous convergence results for both, the case of finite regularity data as well as for data in certain Gevrey-type classes. Some numerical tests are given to confirm the findings.