Fractional diffusion equations include a consistent and efficient explanation of transport phenomena that manifest abnormal diffusion, that cannot be often represented by second‐order diffusion equations. In this article, a two‐dimensional space fractional diffusion equation (SFDE‐2D) with nonhomogeneous and homogeneous boundary conditions is considered in Caputo derivative sense. An instant and nevertheless accurate scheme is obtained by the finite‐difference discretization to get the semidiscrete in temporal derivative with convergence order Ofalse(δτ2false). Moreover, space fractional derivative can be approximated based on the Chebyshev polynomials of second kind which are powerful methods for basing the operational matrix. The convergence and stability of the proposed scheme are discussed theoretically in detail. Finally, two numerical problems with an exact solution are given that numerical results show the effectiveness of the new techniques. These schemes can be simply extended to three spatial dimensions, which will be the subject of our subsequent research.
This paper presents a numerical solution of the temporal-fractional Black–Scholes equation governing European options (TFBSE-EO) in the finite domain so that the temporal derivative is the Caputo fractional derivative. For this goal, we firstly use linear interpolation with the $$(2-\alpha)$$
(
2
-
α
)
-order in time. Then, the Chebyshev collocation method based on the second kind is used for approximating the spatial derivative terms. Applying the energy method, we prove unconditional stability and convergence order. The precision and efficiency of the presented scheme are illustrated in two examples.
Purpose
The purpose of this study is to use the method of lines to solve the two-dimensional nonlinear advection–diffusion–reaction equation with variable coefficients.
Design/methodology/approach
The strictly positive definite radial basis functions collocation method together with the decomposition of the interpolation matrix is used to turn the problem into a system of nonlinear first-order differential equations. Then a numerical solution of this system is computed by changing in the classical fourth-order Runge–Kutta method as well.
Findings
Several test problems are provided to confirm the validity and efficiently of the proposed method.
Originality/value
For the first time, some famous examples are solved by using the proposed high-order technique.
This paper develops a numerical method for approximating the space fractional diffusion equation in Caputo derivative sense. In this discretization process, firstly, the compact finite difference with convergence order O(δτ 2) is used to obtain the semi-discrete in time derivative. Afterward, the spatial fractional derivative is discretized by using the Chebyshev collocation method of the third-kind. This collocation scheme is based on the operational matrix. In addition, time-discrete stability and convergence are theoretically proved in detail. We solve two examples by the proposed method and the obtained results are compared with other numerical methods. The numerical results show that our method is much more accurate than existing methods.
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