Compact finite difference scheme for the solution of a time fractional partial integro‐differential equation with a weakly singular kernel

In this paper, we develop a high‐order finite difference scheme for the solution of a time fractional partial integro‐differential equation with a weakly singular kernel. The fractional derivative is used in the Riemann‐Liouville sense. We prove the unconditional stability and convergence of scheme using energy method and show that the convergence order is . We provide some numerical experiments to confirm the efficiency of suggested scheme. The results of numerical experiments are compared with analytical solutions to show the efficiency of proposed scheme. It is illustrated that the numerical results are in good agreement with theoretical ones.     

Compact finite difference schemes of the time fractional Black-Scholes model

In this paper, three compact difference schemes for the time-fractional Black-Scholes model governing European option pricing are presented. Firstly, in order to obtain the fourth-order accuracy in space by applying the Pad\''{e} approximation, we eliminate the convection term of the B-S equation by an exponential transformation. Then the time fractional derivative is approximated by $L1$ formula, $L2 - 1_\sigma$ formula and $L1 - 2$ formula respectively, and three compact difference schemes with oders $O(\Delta t^{2-\alpha}+h ^4)$, $O(\Delta t^{2}+h ^4)$ and $O(\Delta t^{3-\alpha}+h ^4)$ are constructed. Finally, numerical example is carried out to verify the accuracy and effectiveness of proposed methods, and the comparisons of various schemes are given. The paper also provides numerical studies including the effect of fractional orders and the effect of different parameters on option price in time-fractional B-S model.     

Two finite difference schemes for time fractional diffusion-wave equation

Time fractional diffusion-wave equations are generalizations of classical diffusion and wave equations which are used in modeling practical phenomena of diffusion and wave in fluid flow, oil strata and others. In this paper we construct two finite difference schemes to solve a class of initial-boundary value time fractional diffusion-wave equations based on its equivalent partial integro-differential equations. Under the weak smoothness conditions, we prove that our two schemes are convergent with first-order accuracy in temporal direction and second-order accuracy in spatial direction. Numerical experiments are carried out to demonstrate the theoretical analysis.     

The fundamental solution of the space-time fractional advection-dispersion equation

A space-time fractional advection-dispersion equation (ADE) is a generalization of the classical ADE in which the first-order time derivative is replaced with Caputo derivative of order α ∈ (0, 1], and the second-order space derivative is replaced with a Riesz-Feller derivative of order β ∈ (0, 2]. We derive the solution of its Cauchy problem in terms of the Green functions and the representations of the Green function by applying its Fourier-Laplace transforms. The Green function also can be interpreted as a spatial probability density function (pdf) evolving in time. We do the same on another kind of space-time fractional advection-dispersion equation whose space and time derivatives both replacing with Caputo derivatives.     

Time fractional advection-dispersion equation

A time fractional advection-dispersion equation is obtained from the standard advection-dispersion equation by replacing the firstorder derivative in time by a fractional derivative in time of order α(0<α<-1). Using variable transformation, Mellin and Laplace transforms, and properties of H-functions, we derive the complete solution of this time fractional advection-dispersion equation.     

Spectral regularization method for a Cauchy problem of the time fractional advection-dispersion equation

In this paper, a Cauchy problem for the time fractional advection-dispersion equation (TFADE) is investigated. Such a problem is obtained from the classical advection-dispersion equation by replacing the first-order time derivative by the Caputo fractional derivative of order . We show that the Cauchy problem of TFADE is severely ill-posed and further apply a spectral regularization method to solve it based on the solution given by the Fourier method. The convergence estimate is obtained under a priori bound assumptions for the exact solution. Numerical examples are given to show the effectiveness of the proposed numerical method.     

A compact difference scheme for the fractional diffusion-wave equation

This article is devoted to the study of high order difference methods for the fractional diffusion-wave equation. The time fractional derivatives are described in the Caputo’s sense. A compact difference scheme is presented and analyzed. It is shown that the difference scheme is unconditionally convergent and stable in _L∞$L_{\infty }$-norm. The convergence order is O(τ^3-α+h⁴)$O({\tau }^{3-\alpha }+h^4)$. Two numerical examples are also given to demonstrate the theoretical results.     

Compact difference scheme for two-dimensional fourth-order nonlinear hyperbolic equation

High-order compact finite difference method for solving the two-dimensional fourth-order nonlinear hyperbolic equation is considered in this article. In order to design an implicit compact finite difference scheme, the fourth-order equation is written as a system of two second-order equations by introducing the second-order spatial derivative as a new variable. The second-order spatial derivatives are approximated by the compact finite difference operators to obtain a fourth-order convergence. As well as, the second-order time derivative is approximated by the central difference method. Then, existence and uniqueness of numerical solution is given. The stability and convergence of the compact finite difference scheme are proved by the energy method. Numerical results are provided to verify the accuracy and efficiency of this scheme.     

Implicit difference approximation for the time fractional diffusion equation

In this paper, we consider a time fractional diffusion equation on a finite domain. The equation is obtained from the standard diffusion equation by replacing the first-order time derivative by a fractional derivative (of order 0 < α < 1 ). We propose a computationally effective implicit difference approximation to solve the time fractional diffusion equation. Stability and convergence of the method are discussed. We prove that the implicit difference approximation (IDA) is unconditionally stable, and the IDA is convergent withO(Τ +h ²), where Τ andh are time and space steps, respectively. Some numerical examples are presented to show the application of the present technique.     

A finite difference method for fractional partial differential equation

An implicit unconditional stable difference scheme is presented for a kind of linear space–time fractional convection–diffusion equation. The equation is obtained from the classical integer order convection–diffusion equations with fractional order derivatives for both space and time. First-order consistency, unconditional stability, and first-order convergence of the method are proven using a novel shifted version of the classical Grünwald finite difference approximation for the fractional derivatives. A numerical example with known exact solution is also presented, and the behavior of the error is examined to verify the order of convergence.     

Compact finite difference schemes of sixth order for the Helmholtz equation

New compact finite difference schemes of sixth order are derived for the three dimensional Helmholtz equation, Δu-κ²u=-f$\mathrm{\Delta }u-{\kappa }^{2}u=-f$. Convergence characteristics and accuracy are compared and a truncation error analysis is presented for a broad range of κ$\kappa$-values.     

Finite difference scheme for time-space fractional diffusion equation with fractional boundary conditions

In this paper, the finite difference scheme is developed for the time-space fractional diffusion equation with Dirichlet and fractional boundary conditions. The time and space fractional derivatives are considered in the senses of Caputo and Riemann-Liouville, respectively. The stability and convergence of the proposed numerical scheme are strictly proved, and the convergence order is O(τ^2−α+h²). Numerical experiments are performed to confirm the accuracy and efficiency of our scheme.     

A fast second‐order difference scheme for the space–time fractional equation

In this paper, a fast second‐order accurate difference scheme is proposed for solving the space–time fractional equation. The temporal Caputo derivative is approximated by ?L2 ‐1_σ formula which employs the sum‐of‐exponential approximation to the kernel function appeared in Caputo derivative. The second‐order linear spline approximation is applied to the spatial Riemann–Liouville derivative. At each time step, a fast algorithm, the preconditioned conjugate gradient normal residual method with a circulant preconditioner (PCGNR), is used to solve the resulting system that reduces the storage and computational cost significantly. The unique solvability and unconditional convergence of the difference scheme are shown by the discrete energy method. Numerical examples are given to verify numerical accuracy and efficiency of the difference schemes.     

An unconditionally stable linearized difference scheme for the fractional Ginzburg-Landau equation

In this paper, we propose a linearized implicit finite difference scheme for solving the fractional Ginzburg-Landau equation. The scheme, which involves three time levels, is unconditionally stable and second-order accurate in both time and space variables. Moreover, the unique solvability, the unconditional stability, and the convergence of the method in the \(L^{\infty }\)-norm are proved by the energy method and mathematical induction. Compared with the implicit midpoint difference scheme (Wang and Huang J. Comput. Phys. 312, 31–49, 2016), current linearized method generally reduces the computational cost. Finally, numerical results are presented to confirm the theoretical results.     

A second-order compact difference scheme for the fourth-order fractional sub-diffusion equation

In this paper, the Euler–Maruyama (EM) method with random variable stepsize is studied to reproduce the almost sure stability of the true solutions of stochastic differential equations. Since the choice of the time step is based on the current state of the solution, the time variable is proved to be a stopping time. Then the semimartingale convergence theory is employed to obtain the almost sure stability of the random variable stepsize EM solution. To our best knowledge, this is the first paper to apply the random variable stepsize (with clear proof of the stopping time) to the analysis of the almost sure stability of the EM method.     

Locally one-dimensional difference scheme for a fractional tracer transport equation

A locally one-dimensional scheme for a fractional tracer transport equation of order is considered. An a priori estimate is obtained for the solution of the scheme, and its convergence is proved in the uniform metric.     

A stable and conservative finite difference scheme for the Cahn-Hilliard equation

Summary. We propose a stable and conservative finite difference scheme to solve numerically the Cahn-Hilliard equation which describes a phase separation phenomenon. Numerical solutions to the equation is hard to obtain because it is a nonlinear and nearly ill-posed problem. We design a new difference scheme based on a general strategy proposed recently by Furihata and Mori. The new scheme inherits characteristic properties, the conservation of mass and the decrease of the total energy, from the equation. The decrease of the total energy implies boundedness of discretized Sobolev norm of the solution. This in turn implies, by discretized Sobolev's lemma, boundedness of max norm of the solution, and hence the stability of the solution. An error estimate for the solution is obtained and the order is . Numerical examples demonstrate the effectiveness of the proposed scheme. Received July 22, 1997 / Revised version received October 19, 1999 / Published online August 2, 2000     

Fast high order difference schemes for the time fractional telegraph equation

In this paper, a fast high order difference scheme is first proposed to solve the time fractional telegraph equation based on the ℱℒ 2-1_σ formula for the Caputo fractional derivative, which reduces the storage and computational cost for calculation. A compact scheme is then presented to improve the convergence order in space. The unconditional stability and convergence in maximum norm are proved for both schemes, with the accuracy order and , respectively. Difficulty arising from the two Caputo fractional derivatives is overcome by some detailed analysis. Finally, we carry out numerical experiments to show the efficiency and accuracy, by comparing with the ℒ 2-1_σ method.     

A finite difference scheme for the nonlinear time-fractional partial integro-differential equation

In this paper, a finite difference scheme is proposed for solving the nonlinear time-fractional integro-differential equation. This model involves two nonlocal terms in time, ie, a Caputo time-fractional derivative and an integral term with memory. The existence of numerical solutions is shown by the Leray-Schauder theorem. And we obtain the discrete L₂ stability and convergence with second order in time and space by the discrete energy method. Then the uniqueness of numerical solutions is derived. Moreover, an iterative algorithm is designed for solving the derived nonlinear system. Numerical examples are presented to validate the theoretical findings and the efficiency of the proposed algorithm.