A Finite Difference Method with Non-uniform Timesteps for Fractional Diffusion Equations

TL;DR

This paper introduces an implicit finite difference method with adaptive non-uniform timesteps for fractional diffusion equations, improving accuracy and efficiency without high computational costs.

Contribution

It presents a novel adaptive, unconditionally stable finite difference method for fractional diffusion equations, demonstrating significant computational advantages over fixed step approaches.

Findings

Method is unconditionally stable and convergent.

Adaptive timesteps reduce computational cost.

Effective in modeling subdiffusive particle dispersion.

Abstract

An implicit finite difference method with non-uniform timesteps for solving the fractional diffusion equation in the Caputo form is proposed. The method allows one to build adaptive methods where the size of the timesteps is adjusted to the behaviour of the solution in order to keep the numerical errors small without the penalty of a huge computational cost. The method is unconditionally stable and convergent. In fact, it is shown that consistency and stability implies convergence for a rather general class of fractional finite difference methods to which the present method belongs. The huge computational advantage of adaptive methods against fixed step methods for fractional diffusion equations is illustrated by solving the problem of the dispersion of a flux of subdiffusive particles stemming from a point source.