Abstract
In this paper, we consider a numerical method for the time-fractional diffusion equation. The method uses a high order finite difference method to approximate the fractional derivative in time, resulting in a time stepping scheme for the underlying equation. Then the resulting equation is discretized in space by using a spectral method based on the Legendre polynomials. The main body of this paper is devoted to carry out a rigorous analysis for the stability and convergence of the time stepping scheme. As a by-product and direct extension of our previous work, an error estimate for the spatial discretization is also provided. The key contribution of the paper is the proof of the ($3-\alpha$)-order convergence of the time scheme, where $\alpha$ is the order of the time-fractional derivative. Then the theoretical result is validated by a number of numerical tests. To the best of our knowledge, this is the first proof for the stability of the ($3-\alpha$)-order scheme for the time-fractional diffusion equation.
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