Upwind-and-shifted numerical scheme for fractional convection equation

Abstract

Fundamental solution of a space fractional convection equation of order $\alpha$ is the probability density function of Lévy flights with long-tailed $\alpha$-stable jump length distribution. By studying an upwind second-order implicit finite difference scheme for the equation with $\alpha \in (0,1)$, an upwind-and-shifted scheme with order $3-\alpha$ is obtained in this paper, and the scheme is shown to be unconditionally stable for a wide range of $\alpha$. Numerical examples, including simulations on a probability density function, are presented showing the effectiveness of the numerical schemes.