Finite difference approximations for two-sided space-fractional partial differential equations

DOI10.1016/J.APNUM.2005.02.008MaRDI QIDQ2581572zbMATH OpenOpenAlexFDO

Authors Mark M. Meerschaert, Charles Tadjeran

Publication date 10 January 2006

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.apnum.2005.02.008

zbMATH Keywords

Backward Euler methodconsistencyconvergenceFinite differenceFractional derivativeImplicit Euler methodLeft-handed fractional flownumerical examplesRight-handed fractional flowstabilityTwo-sided fractional partial differential equation

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) PDEs with low regular coefficients and/or low regular data (35R05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

Review text

The authors examine some practical numerical finite difference methods for solving initial-boundary value problems for fractional order partial differential equations. Such equations are generalizations of classical partial differential equations and used to describe fluid flow and finance flow models. The case when left-handed or right-handed fractional spatial derivative may be present in the partial differential equation is considered. Stability, consistency and therefore also convergence of the proposed method are discussed. The convergence and stability results unify the corresponding results for classical parabolic and hyperbolic partial differential equations into a single condition. A numerical example using finite difference methods for two-sides fractional equations are presented and compared with the exact analytical solutions.

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