Weighted average finite difference methods for fractional diffusion equations
arXiv:cs/0408053
Abstract
Weighted averaged finite difference methods for solving fractional diffusion equations are discussed and different formulae of the discretization of the Riemann-Liouville derivative are considered. The stability analysis of the different numerical schemes is carried out by means of a procedure close to the well-known von Neumann method of ordinary diffusion equations. The stability bounds are easily found and checked in some representative examples.
Communication presented at the FDA'04 Workshop (with some minor corrections and updates)