On an Explicit Difference Method for Fractional Diffusion and Diffusion-Wave Equations

An explicit difference scheme for solving fractional diffusion and fractional diffusion-wave equations, in which the fractional derivative is in the Caputo form, is considered. The two equations are studied separately: for the fractional diffusion equation, the L1 discretization formula is employed, whereas the L2 discretization formula is used for the fractional diffusion-wave equation. Its accuracy is similar to other well-known explicit difference schemes, but its region of stability is larger. The stability analysis is carried out by means of a procedure similar to the standard von Neumann method. The stability bound, which is given in terms of the the Riemann Zeta function, is checked numerically.Copyright © 2009 by ASME