Applications of Mathematics

, Volume 62, Issue 1, pp 15–36 | Cite as

Convergence of the matrix transformation method for the finite difference approximation of fractional order diffusion problems

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Abstract

Numerical solution of fractional order diffusion problems with homogeneous Dirichlet boundary conditions is investigated on a square domain. An appropriate extension is applied to have a well-posed problem on R2 and the solution on the square is regarded as a localization. For the numerical approximation a finite difference method is applied combined with the matrix transformation method. Here the discrete fractional Laplacian is approximated with a matrix power instead of computing the complicated approximations of fractional order derivatives. The spatial convergence of this method is proved and demonstrated by some numerical experiments.

Keywords

fractional diffusion problem finite differences matrix transformation method 

MSC 2010

35R11 65M06 65M12 

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Copyright information

© Institute of Mathematics of the Academy of Sciences of the Czech Republic, Praha, Czech Republic 2017

Authors and Affiliations

  1. 1.MTA-ELTE Numnet Research GroupEötvös Loránd UniversityBudapestHungary
  2. 2.Department of Applied Analysis and Computational Mathematics, MTA-ELTE Numnet Research GroupEötvös Loránd UniversityBudapestHungary

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