A high-order compact finite difference scheme for the fractional sub-diffusion equation (Q887022)

The authors consider a method for the numerical solution of a time-fractional subdiffusion equation with a Caputo differential operator with respect to the time variable. The method is based on a new variant of a shifted Grünwald formula with step size \(\tau\) in time and a standard finite difference method with step size \(h\) in space. It is demonstrated that the scheme is convergent of order \(O(\tau^3 + h^4)\) if the solution is sufficiently smooth (a condition whose validity is often unknown in practice). Moreover, the unconditional stability is asserted if the order of the time derivative is in the interval \((0, \alpha^*]\) with \(\alpha^* \approx 0.9569\).