A second-order accurate numerical method for the two-dimensional fractional diffusion equation

Authors:
Charles Tadjeran;Mark M. Meerschaert
Affiliations:
Department of Physics, University of Nevada, Reno, USA;Department of Statistics and Probability Michigan State University East Lansing, MI 48824-1027 USA
Venue:
Journal of Computational Physics
Year:
2007

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Abstract

Spatially fractional order diffusion equations are generalizations of classical diffusion equations which are used in modeling practical superdiffusive problems in fluid flow, finance and others. In this paper, we present an accurate and efficient numerical method to solve a fractional superdiffusive differential equation. This numerical method combines the alternating directions implicit (ADI) approach with a Crank-Nicolson discretization and a Richardson extrapolation to obtain an unconditionally stable second-order accurate finite difference method. The stability and the consistency of the method are established. Numerical solutions for an example super-diffusion equation with a known analytic solution are obtained and the behavior of the errors are analyzed to demonstrate the order of convergence of the method.