A second-order accurate numerical scheme for a time-fractional Fokker-Planck equation

Kassem Mustapha, Omar M. Knio, Olivier P. Le Maître

A time-stepping $L1$ scheme for solving a time fractional Fokker-Planck equation of order $\alpha \in (0,1)$, with a general driving force, is investigated. A stability bound for the se…