High order difference schemes for a time fractional differential equation with Neumann boundary conditions (Q6486730)

The authors derive a finite difference method for solving a time fractional differential equation with the Caputo fractional derivative with respect to the time variable and with an elliptic spatial operator subject to Neumann boundary conditions. To derive a finite difference compact approximation the equivalent partial differential equation with the usual time derivative and the spatial Riemann-Liouville fractional integral operator of fractional order is derived. The last one is approximated using the shifted Grünwald differences. As result, the authors obtain a finite difference scheme which is of second accuracy order in time and of fourth accuracy order in space. For the 2D case, an alternating direction implicit (ADI) scheme of the order \(\mathcal{O}(\tau^2+h_1^2+h_2^2)\) is proposed and justified. Numerical examples are given to confirm the theoretical results.