A finite volume method for two-sided fractional diffusion equations on non-uniform meshes

We derive a finite volume method for two-sided fractional diffusion equations with Riemann-Liouville derivatives in one spatial dimension. The method applies to non-uniform meshes, with arbitrary nodal spacing. The discretisation utilises the integral definition of the fractional derivatives, and we show that it leads to a diagonally dominant matrix representation, and a provably stable numerical scheme. Being a finite volume method, the numerical scheme is fully conservative, and the ability to locally refine the mesh can produce solutions with more accuracy for the same number of nodes compared to a uniform mesh, as we demonstrate numerically. (C) 2017 Elsevier Inc. All rights reserved.