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Numerical solution of space fractional diffusion equation by the method of lines and splines

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  • Salehi, Younes
  • Darvishi, Mohammad T.
  • Schiesser, William E.

Abstract

This paper is devoted to the application of the method of lines to solve one-dimensional diffusion equation where the classical (integer) second derivative is replaced by a fractional derivative of the Caputo type of order α less than 2 as the space derivative. A system of initial value problems approximates the solution of the fractional diffusion equation with spline approximation of the Caputo derivative. The result is a numerical approach of order O(Δx2+Δtm), where Δx and Δt denote spatial and temporal step-sizes, and 1 ≤ m ≤ 5 is an integer which is set by an ODE integrator that we used. The convergence and numerical stability of the method are considered, and numerical tests to investigate the efficiency and feasibility of the scheme are provided.

Suggested Citation

  • Salehi, Younes & Darvishi, Mohammad T. & Schiesser, William E., 2018. "Numerical solution of space fractional diffusion equation by the method of lines and splines," Applied Mathematics and Computation, Elsevier, vol. 336(C), pages 465-480.
    • Handle: RePEc:eee:apmaco:v:336:y:2018:i:c:p:465-480
    DOI: 10.1016/j.amc.2018.04.053
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    References listed on IDEAS

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    1. Scalas, Enrico & Gorenflo, Rudolf & Mainardi, Francesco, 2000. "Fractional calculus and continuous-time finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 284(1), pages 376-384.
    2. Mainardi, Francesco & Raberto, Marco & Gorenflo, Rudolf & Scalas, Enrico, 2000. "Fractional calculus and continuous-time finance II: the waiting-time distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 468-481.
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    Cited by:

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