Numerical methods for fractional partial differential equations with Riesz space fractional derivatives

In this paper, we consider the numerical solution of a fractional partial differential equation with Riesz space fractional derivatives (FPDE-RSFD) on a finite domain. Two types of FPDE-RSFD are considered: the Riesz fractional diffusion equation (RFDE) and the Riesz fractional advection–dispersion equation (RFADE). The RFDE is obtained from the standard diffusion equation by replacing the second-order space derivative with the Riesz fractional derivative of order αset membership, variant(1,2]. The RFADE is obtained from the standard advection–dispersion equation by replacing the first-order and second-order space derivatives with the Riesz fractional derivatives of order βset membership, variant(0,1) and of order αset membership, variant(1,2], respectively. Firstly, analytic solutions of both the RFDE and RFADE are derived. Secondly, three numerical methods are provided to deal with the Riesz space fractional derivatives, namely, the L1/L2-approximation method, the standard/shifted Grünwald method, and the matrix transform method (MTM). Thirdly, the RFDE and RFADE are transformed into a system of ordinary differential equations, which is then solved by the method of lines. Finally, numerical results are given, which demonstrate the effectiveness and convergence of the three numerical methods.

Fundamental solution and discrete random walk model for time-space fractional diffusion equation

In this paper, we consider a time-space fractional diffusion equation of distributed order (TSFDEDO). The TSFDEDO is obtained from the standard advection-dispersion equation by replacing the first-order time derivative by the Caputo fractional derivative of order α∈(0,1], the first-order and second-order space derivatives by the Riesz fractional derivatives of orders β 1∈(0,1) and β 2∈(1,2], respectively. We derive the fundamental solution for the TSFDEDO with an initial condition (TSFDEDO-IC). The fundamental solution can be interpreted as a spatial probability density function evolving in time. We also investigate a discrete random walk model based on an explicit finite difference approximation for the TSFDEDO-IC.

Analytical and numerical solutions for the time and space-symmetric fractional diffusion equation

We consider a time and space-symmetric fractional diffusion equation (TSS-FDE) under homogeneous Dirichlet conditions and homogeneous Neumann conditions. The TSS-FDE is obtained from the standard diffusion equation by replacing the first-order time derivative by a Caputo fractional derivative, and the second order space derivative by a symmetric fractional derivative. First, a method of separating variables expresses the analytical solution of the TSS-FDE in terms of the Mittag--Leffler function. Second, we propose two numerical methods to approximate the Caputo time fractional derivative: the finite difference method; and the Laplace transform method. The symmetric space fractional derivative is approximated using the matrix transform method. Finally, numerical results demonstrate the effectiveness of the numerical methods and to confirm the theoretical claims.

Stability and convergence of an effective numerical method for the time-space fractional Fokker-Planck equation with a nonlinear source term

Fractional Fokker-Planck equations (FFPEs) have gained much interest recently for describing transport dynamics in complex systems that are governed by anomalous diffusion and nonexponential relaxation patterns. However, effective numerical methods and analytic techniques for the FFPE are still in their embryonic state. In this paper, we consider a class of time-space fractional Fokker-Planck equations with a nonlinear source term (TSFFPE-NST), which involve the Caputo time fractional derivative (CTFD) of order α ∈ (0, 1) and the symmetric Riesz space fractional derivative (RSFD) of order μ ∈ (1, 2). Approximating the CTFD and RSFD using the L1-algorithm and shifted Grunwald method, respectively, a computationally effective numerical method is presented to solve the TSFFPE-NST. The stability and convergence of the proposed numerical method are investigated. Finally, numerical experiments are carried out to support the theoretical claims.

Computationally efficient numerical methods for time- and space-fractional Fokker–Planck equations

Fractional Fokker–Planck equations have been used to model several physical situations that present anomalous diffusion. In this paper, a class of time- and space-fractional Fokker–Planck equations (TSFFPE), which involve the Riemann–Liouville time-fractional derivative of order 1-α (α(0, 1)) and the Riesz space-fractional derivative (RSFD) of order μ(1, 2), are considered. The solution of TSFFPE is important for describing the competition between subdiffusion and Lévy flights. However, effective numerical methods for solving TSFFPE are still in their infancy. We present three computationally efficient numerical methods to deal with the RSFD, and approximate the Riemann–Liouville time-fractional derivative using the Grünwald method. The TSFFPE is then transformed into a system of ordinary differential equations (ODE), which is solved by the fractional implicit trapezoidal method (FITM). Finally, numerical results are given to demonstrate the effectiveness of these methods. These techniques can also be applied to solve other types of fractional partial differential equations.

Analytical and numerical solutions for the time and space-symmetric fractional diffusion equation

We consider a time and space-symmetric fractional diffusion equation (TSS-FDE) under homogeneous Dirichlet conditions and homogeneous Neumann conditions. The TSS-FDE is obtained from the standard diffusion equation by replacing the first-order time derivative by the Caputo fractional derivative and the second order space derivative by the symmetric fractional derivative. Firstly, a method of separating variables is used to express the analytical solution of the tss-fde in terms of the Mittag–Leffler function. Secondly, we propose two numerical methods to approximate the Caputo time fractional derivative, namely, the finite difference method and the Laplace transform method. The symmetric space fractional derivative is approximated using the matrix transform method. Finally, numerical results are presented to demonstrate the effectiveness of the numerical methods and to confirm the theoretical claims.

Novel numerical methods for time-space fractional reaction diffusion equations in two dimensions

We consider time-space fractional reaction diffusion equations in two dimensions. This equation is obtained from the standard reaction diffusion equation by replacing the first order time derivative with the Caputo fractional derivative, and the second order space derivatives with the fractional Laplacian. Using the matrix transfer technique proposed by Ilic, Liu, Turner and Anh [Fract. Calc. Appl. Anal., 9:333--349, 2006] and the numerical solution strategy used by Yang, Turner, Liu, and Ilic [SIAM J. Scientific Computing, 33:1159--1180, 2011], the solution of the time-space fractional reaction diffusion equations in two dimensions can be written in terms of a matrix function vector product $f(A)b$ at each time step, where $A$ is an approximate matrix representation of the standard Laplacian. We use the finite volume method over unstructured triangular meshes to generate the matrix $A$, which is therefore non-symmetric. However, the standard Lanczos method for approximating $f(A)b$ requires that $A$ is symmetric. We propose a simple and novel transformation in which the standard Lanczos method is still applicable to find $f(A)b$, despite the loss of symmetry. Numerical results are presented to verify the accuracy and efficiency of our newly proposed numerical solution strategy.

Computationally efficient methods for solving time-variable-order time-space fractional reaction-diffusion equation

Fractional differential equations are becoming more widely accepted as a powerful tool in modelling anomalous diffusion, which is exhibited by various materials and processes. Recently, researchers have suggested that rather than using constant order fractional operators, some processes are more accurately modelled using fractional orders that vary with time and/or space. In this paper we develop computationally efficient techniques for solving time-variable-order time-space fractional reaction-diffusion equations (tsfrde) using the finite difference scheme. We adopt the Coimbra variable order time fractional operator and variable order fractional Laplacian operator in space where both orders are functions of time. Because the fractional operator is nonlocal, it is challenging to efficiently deal with its long range dependence when using classical numerical techniques to solve such equations. The novelty of our method is that the numerical solution of the time-variable-order tsfrde is written in terms of a matrix function vector product at each time step. This product is approximated efficiently by the Lanczos method, which is a powerful iterative technique for approximating the action of a matrix function by projecting onto a Krylov subspace. Furthermore an adaptive preconditioner is constructed that dramatically reduces the size of the required Krylov subspaces and hence the overall computational cost. Numerical examples, including the variable-order fractional Fisher equation, are presented to demonstrate the accuracy and efficiency of the approach.

A new implicit numerical method for the space and time fractional Bloch-Torrey equation

In recent years, it has been found that many phenomena in engineering, physics, chemistry and other sciences can be described very successfully by models using mathematical tools from fractional calculus. Recently, noted a new space and time fractional Bloch-Torrey equation (ST-FBTE) has been proposed (see Magin et al. (2008)), and successfully applied to analyse diffusion images of human brain tissues to provide new insights for further investigations of tissue structures. In this paper, we consider the ST-FBTE on a finite domain. The time and space derivatives in the ST-FBTE are replaced by the Caputo and the sequential Riesz fractional derivatives, respectively. Firstly, we propose a new effective implicit numerical method (INM) for the STFBTE whereby we discretize the Riesz fractional derivative using a fractional centered difference. Secondly, we prove that the implicit numerical method for the ST-FBTE is unconditionally stable and convergent, and the order of convergence of the implicit numerical method is ( T2 - α + h2 x + h2 y + h2 z ). Finally, some numerical results are presented to support our theoretical analysis.