The accuracy and stability of an implicit solution method for the fractional diffusion equation

We have investigated the accuracy and stability of an implicit numerical scheme for solving the fractional diffusion equation. This model equation governs the evolution for the probability density function that describes anomalously diffusing particles. Anomalous diffusion is ubiquitous in physical and biological systems where trapping and binding of particles can occur. The implicit numerical scheme that we have investigated is based on finite difference approximations and is straightforward to implement. The accuracy of the scheme is O(Delta x(2)) in the spatial grid size and O(Delta t(1+gamma)) in the fractional time step, where 0 <= 1 - gamma < 1 is the order of the fractional derivative and gamma = 1 is standard diffusion. We have provided algebraic and numerical evidence that the scheme is unconditionally stable for 0 < gamma <= 1. (c) 2004 Elsevier Inc. All rights reserved.