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Efficient Finite Difference/Spectral Method for the Time Fractional Ito Equation Using Fast Fourier Transform Technic

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Abstract

A finite difference/spectral scheme is proposed for the time fractional Ito equation. The mass conservation and stability of the numerical solution are deduced by the energy method in the \(L^2\) norm form. To reduce the computation costs, the fast Fourier transform technic is applied to a pair of equivalent coupled differential equations. The effectiveness of the proposed algorithm is verified by the first numerical example. The mass conservation property and stability statement are confirmed by two other numerical examples.

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Acknowledgements

The authors would like to thank the editor and reviewers for their constructive comments and suggestions, which helped the authors to improve the quality of the paper significantly.

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Correspondence to Zhibo Wang.

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The authors declare that they have no conflict of interest.

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This research was partly supported by the National Natural Science Foundation of China (No. 11701103), the Young Top-notch Talent Program of Guangdong Province of China (No. 2017GC010379), the Natural Science Foundation of Guangdong Province of China (No. 2022A1515012147), the Project of Science and Technology of Guangzhou of China (No. 202102020704), the Opening Project of Guangdong Province Key Laboratory of Computational Science at the Sun Yat-sen University of China (2021023), the Science and Technology Development Fund, Macau SAR (File No. 0005/2019/A), and the University of Macau of China (File Nos. MYRG2020-00035-FST, MYRG2018-00047-FST).

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Cen, D., Wang, Z. & Vong, S. Efficient Finite Difference/Spectral Method for the Time Fractional Ito Equation Using Fast Fourier Transform Technic. Commun. Appl. Math. Comput. 5, 1591–1600 (2023). https://doi.org/10.1007/s42967-022-00223-z

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  • DOI: https://doi.org/10.1007/s42967-022-00223-z

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