Fast Finite Difference Schemes for Time-Fractional Diffusion Equations with a Weak Singularity at Initial Time

Abstract

A sharp estimate for the L1 formula on graded meshes, which approximates the Caputo derivatives of functions with a weak singularity at t = 0 is obtained. Combining such approximations with the sum-of-exponential approximations of the kernel, we develop fast difference schemes for one- and two-dimensional fractional diffusion equations, the solutions of which have a weak singularity at the starting time. The proof of the stability and convergence is based on the maximum principle. Numerical examples confirm theoretical estimates.