A second-order accurate numerical approximation for the fractional diffusion equation

Fractional order diffusion equations are generalizations of classical diffusion equations, treating super-diffusive flow processes. In this paper, we examine a practical numerical method which is second-order accurate in time and in space to solve a class of initial-boundary value fractional diffusive equations with variable coefficients on a finite domain. An approach based on the classical Crank–Nicholson method combined with spatial extrapolation is used to obtain temporally and spatially second-order accurate numerical estimates. Stability, consistency, and (therefore) convergence of the method are examined. It is shown that the fractional Crank–Nicholson method based on the shifted Grünwald formula is unconditionally stable. A numerical example is presented and compared with the exact analytical solution for its order of convergence. 2005 Elsevier Inc. All rights reserved.