Space Fractional Derivatives Research Articles

Fast implicit difference schemes for time‐space fractional diffusion equations with the integral fractional Laplacian

In this paper, we develop two fast implicit difference schemes for solving a class of variable‐coefficient time–space fractional diffusion equations with integral fractional Laplacian (IFL). The proposed schemes utilize the graded L1 formula for the Caputo fractional derivative and a special finite difference discretization for IFL, where the graded mesh can capture the model problem with a weak singularity at initial time. The stability and convergence are rigorously proved via the M‐matrix analysis, which is from the spatial discretized matrix of IFL. Moreover, the proposed schemes use the fast sum‐of‐exponential approximation and Toeplitz matrix algorithms to reduce the computational cost for the nonlocal property of time and space fractional derivatives, respectively. The fast schemes greatly reduce the computational work of solving the discretized linear systems from by a direct solver to per preconditioned Krylov subspace iteration and a memory requirement from 𝒪(MN2) to 𝒪(NNexp), where N and (Nexp ≪) M are the number of spatial and temporal grid nodes, respectively. The spectrum of preconditioned matrix is also given for ensuring the acceleration benefit of circulant preconditioners. Finally, numerical results are presented to show the utility of the proposed methods.

A moving boundary problem with space-fractional diffusion logistic population model and density-dependent dispersal rate

In this article, we discuss a space-fractional diffusion logistic population model with Caputo fractional derivative and density-dependent dispersal rate. The numerical solution of the problem is obtained by using a finite difference scheme. The consistency and stability of the scheme for our solution to the problem are also discussed. The effect of the density-dependent dispersal rate and order of the space-fractional derivative are analyzed for the population density and expanding front (moving boundary).

A finite difference method for an initial–boundary value problem with a Riemann–Liouville–Caputo spatial fractional derivative

An initial–boundary value problem with a Riemann–Liouville–Caputo space fractional derivative of order α∈(1,2) is considered, where the boundary conditions are reflecting. A fractional Friedrichs’ inequality is derived and is used to prove that the problem approaches a steady-state solution when the source term is zero. The solution of the general problem is approximated using a finite difference scheme defined on a uniform mesh and the error analysis is given in detail for typical solutions which have a weak singularity near the spatial boundary x=0. It is proved that the scheme converges with first order in the maximum norm. Numerical results are given that corroborate our theoretical results for the order of convergence of the difference scheme, the approach of the solution to steady state, and mass conservation.

Some comments on using fractional derivative operators in modeling non-local diffusion processes

We start with a general governing equation for diffusion transport, written in a conserved form, in which the phenomenological flux laws can be constructed in a number of alternative ways. We pay particular attention to flux laws that can account for non-locality through space fractional derivative operators. The available results on the well posedness of the governing equations using such flux laws are discussed. A discrete control volume numerical solution of the general conserved governing equation is developed and a general discrete treatment of boundary conditions, independent of the particular choice of flux law, is presented. The numerical properties of the scheme resulting from the flux laws are analyzed. We use numerical solutions of various test problems to compare the operation and predictive ability of two discrete fractional diffusion flux laws based on the Caputo (C) and Riemann–Liouville (RL) derivatives respectively. When compared with the C flux-law we note that the RL flux law includes an additional term, that, in a phenomenological sense, acts as an apparent advection transport. Through our test solutions we show that, when compared to the performance of the C flux-law, this extra term can lead to RL-flux law predictions that may be physically and mathematically unsound. We conclude, by proposing a parsimonious definition for a fractional derivative based flux law that removes the ambiguities associated with the selection between non-local flux laws based on the RL and C fractional derivatives.

Multigrid preconditioners for anisotropic space-fractional diffusion equations

We focus on a two-dimensional time-space diffusion equation with fractional derivatives in space. The use of Crank-Nicolson in time and finite differences in space leads to dense Toeplitz-like linear systems. Multigrid strategies that exploit such structure are particularly effective when the fractional orders are both close to 2. We seek to investigate how structure-based multigrid approaches can be efficiently extended to the case where only one of the two fractional orders is close to 2, i.e., when the fractional equation shows an intrinsic anisotropy. Precisely, we design a multigrid (block-banded–banded-block) preconditioner whose grid transfer operator is obtained with a semi-coarsening technique and that has relaxed Jacobi as smoother. The Jacobi relaxation parameter is estimated by using an automatic symbol-based procedure. A further improvement in the robustness of the proposed multigrid method is attained using the V-cycle with semi-coarsening as smoother inside an outer full-coarsening. Several numerical results confirm that the resulting multigrid preconditioner is computationally effective and outperforms current state of the art techniques.

Spontaneous symmetry breaking in purely nonlinear fractional systems.

Spontaneous symmetry breaking, a spontaneous course of breaking the spatial symmetry (parity) of the system, is known to exist in many branches of physics, including condensed-matter physics, high-energy physics, nonlinear optics, and Bose-Einstein condensates. In recent years, the spontaneous symmetry breaking of solitons in nonlinear wave systems is broadly studied; understanding such a phenomenon in nonlinear fractional quantum mechanics with space fractional derivatives (the purely nonlinear fractional systems whose fundamental properties are governed by a nonlinear fractional Schrödinger equation), however, remains pending. Here, we survey symmetry breaking of solitons in fractional systems (with the fractional diffraction order being formulated by the Lévy index α) of a nonlinear double-well structure and find several kinds of soliton families in the forms of symmetric and anti-symmetric soliton states as well as asymmetric states. Linear stability and dynamical properties of these soliton states are explored relying on linear-stability analysis and direct perturbed simulations, with which the existence and stability regions of all the soliton families in the respective physical parameter space are identified.

Maximum Principles for a Class of Generalized Time-Fractional Diffusion Equations

Abstract Two significant inequalities for generalized time fractional derivatives at extreme points are obtained. Then, we apply the inequalities to establish the maximum principles for multi-term time-space fractional variable-order operators. Finally, we employ the principles to investigate two kinds of diffusion equations involving generalized time-fractional Caputo derivatives and space-fractional Riesz-Caputo derivatives.

On the Numerical Solution of Fractional Boundary Value Problems by a Spline Quasi-Interpolant Operator

Boundary value problems having fractional derivative in space are used in several fields, like biology, mechanical engineering, control theory, just to cite a few. In this paper we present a new numerical method for the solution of boundary value problems having Caputo derivative in space. We approximate the solution by the Schoenberg-Bernstein operator, which is a spline positive operator having shape-preserving properties. The unknown coefficients of the approximating operator are determined by a collocation method whose collocation matrices can be constructed efficiently by explicit formulas. The numerical experiments we conducted show that the proposed method is efficient and accurate.

On the solution of a generalized Higgs boson equation in the de Sitter space-time through an efficient and Hamiltonian scheme

The present work is the first paper in the literature to report on a Hamiltonian discretization of the (fractional) Higgs boson equation in the de Sitter space-time, and its theoretical analysis. More precisely, we design herein a numerically efficient finite-difference Hamiltonian technique for the solution of a fractional extension of the Higgs boson equation in the de Sitter space-time. The model under investigation is a multidimensional equation with generalized potential and Riesz space-fractional derivatives of orders in (1,2]. An energy integral for the model is readily available, and we propose a nonlinear, implicit and consistent numerical technique based on fractional-order centered differences, with similar Hamiltonian properties in the discrete scenario. A fractional energy approach is used then to prove the properties of stability and convergence of the technique. For simulation purposes, we consider both the classical and the fractional Higgs real-valued scalar fields in the de Sitter space-time, and find results qualitatively similar to those available in the literature. For the sake of convenience, we provide the Matlab code of an alternative linear discretization of the method presented in this work. This linear implicit approach is thoroughly analyzed also.

Fourth order compact scheme for space fractional advection–diffusion reaction equations with variable coefficients

In this work, a new fourth order compact approximation is derived for Riemann–Liouville space fractional derivatives. Modified wave numbers are obtained for various approximations of fractional derivatives. Considering these modified wave numbers, Fourier analysis of differencing errors is presented to quantify the resolution characteristics of various approximations. A novel fourth order compact scheme is developed for space fractional advection–diffusion reaction equations with variable coefficients in one and two dimensions. In the proposed compact scheme, the second derivative approximation of unknowns is approximated using the value of these unknowns and their first derivative approximations. This splitting of second derivative approximations allows us to obtain a similar system of linear equations as in Zhao and Tian (2017) which presents only second order accurate finite difference method for advection–diffusion reaction equations in one-dimension. The stability of the proposed compact scheme is demonstrated numerically. Furthermore, the proposed compact scheme is employed to space fractional Black–Scholes equation for pricing European options as an application of fractional derivatives in mathematical finance. Numerical illustrations are presented to validate the theoretical claims.

Numerical solution of space fractional diffusion equation by spline method combined with Richardson extrapolation

In this paper, we propose a high-order method for numerical solution of space fractional diffusion equation (SFDE) in one and two dimensions. The space fractional derivative of order $$1<\alpha < 2$$ is described in Caputo’s sense. The spline approximation of Caputo is considered which has second-order accuracy in space. To improve the spatial accuracy, Richardson extrapolation method is presented. As a result, the high-order method can be viewed as the modification of the existing jobs (Sousa, Comput Math Appl 62:938–944, 2011; Salehi et al., Appl Math Comput 336:465–480, 2018). For the two-dimensional case, an alternating direction implicit (ADI) scheme is considered to split the equation into two separate one-dimensional equations. Moreover, the proposed scheme is extended to two-sided SFDE case. Numerical results confirm the theoretical supports and the effectiveness of the proposed scheme.

A class of RBFs-based DQ methods for the space-fractional diffusion equations on 3D irregular domains

High-dimensional space-fractional PDEs are topics of special focus in applied disciplines, but solving them on irregular domains is challenging and deserves particular attention in scientific computing. In response to this issue, we establish a family of differential quadrature (DQ) methods for the space-fractional diffusion equations on 3D irregular domains. The fractional derivatives in space are represented by weighted linear combinations based on the functional values at scattered nodes with their weights determined by using radial basis functions (RBFs) as trial functions. The resulting system of ordinary differential equations (ODEs) are discretized by the weighted average scheme. The presented DQ methods have the virtues which are shared by the classical DQ methods. Several benchmark problems on typical irregular domains are solved to illustrate their advantages in flexibility and accuracy.

Pricing Path-Independent Payoffs with Exotic Features in the Fractional Diffusion Model

We provide several practical formulas for pricing path-independent exotic instruments (log options and log contracts, digital options, gap options, power options with or without capped payoffs …) in the context of the fractional diffusion model. This model combines a tail parameter governed by the space fractional derivative, and a subordination parameter governed by the time-fractional derivative. The pricing formulas we derive take the form of quickly convergent series of powers of the moneyness and of the convexity adjustment; they are obtained thanks to a factorized formula in the Mellin space valid for arbitrary payoffs, and by means of residue theory. We also discuss other aspects of option pricing such as volatility modeling, and provide comparisons of our results with other financial models.

Fractional generalization of the fermi–Pasta–Ulam–Tsingou media and theoretical analysis of an explicit variational scheme

In this work, we consider a partial differential equation that extends the well-known Fermi–Pasta–Ulam–Tsingou chains from nonlinear dynamics. The continuous model under consideration includes the presence of both a damping term and a polynomial function in terms of Riesz space-fractional derivatives. Initial and boundary conditions on a closed and bounded interval are considered in this work. The mathematical model has a fractional Hamiltonian which is conserved when the damping coefficient is equal to zero, and dissipated otherwise. Motivated by these facts, we propose a finite-difference method to approximate the solutions of the continuous model. The method is an explicit scheme which is based on the use of fractional centered differences to approximate the fractional derivatives of the model. A discretized form of the Hamiltonian is also proposed in this work, and we prove analytically that the method is capable of conserving or dissipating the discrete energy under the same conditions that guarantee the conservation or dissipation of energy of the continuous model. We show that solutions of the discrete model exist and are unique under suitable regularity conditions on the reaction function. We establish rigorously the properties of consistency, stability and convergence of the method. To that end, novel technical results are mathematically proved. Computer simulations that assess the capability of the method to preserve the energy are provided for illustration purposes.

Necessity of introducing non-integer shifted parameters by constructing high accuracy finite difference algorithms for a two-sided space-fractional advection–diffusion model

In this study, we develop a second-order finite difference scheme based on the shifted convolution quadrature (SCQ) framework that approximates the space-fractional derivatives at a shifted node xn−θ where θ may not necessarily be an integer. By applying the proposed method for a space-fractional advection–diffusion equation in the spacial direction and the Crank–Nicolson scheme for the time variable discretization, we analyze the von Neumann stability for the fully discrete scheme. Further, we explore the impact of different θ on the robustness of our scheme for weak regular solutions and compare that with the shifted Grünwald–Letnikov formula. The results confirm the necessity of introducing non-integer shifted parameters θ.

High-dimensional spatial patterns in fractional reaction-diffusion system arising in biology

Abstract The concept of fractional derivative has been demonstrated to be successful when applied to model a range of physical and real life phenomena, be it in engineering and science related fields. It is a known fact that reaction-diffusion equation permits the use of different numerical methods in space and time. As a result, we introduce the Fourier spectral method for the discretization of space fractional derivative and adapt the modified version of the exponential time-integrator to advance in time in attempt to explore the dynamic richness of fractional reaction-diffusion equations in two and three dimensions. This approach gives a full diagonal representation of the fractional derivative operator and yields a better spectral convergence irrespective of the value of fractional order chosen in the experiment. Recommendations are made based on some amazing results which arise from the computational experiments. We intend to answer the question ’why is wildlife animals going into extinction in Africa?’ to a reasonable extent. We believe that the spatial patterns obtained in the simulation framework to mimic the ones found in wildlife would provide a measure and serves as a good alternative to an act of killing of wildlife animals for ornamental and decorative purposes, also would serve as a guild to textile industries on pattern formations.

Existence of Solution of Space–Time Fractional Diffusion-Wave Equation in Weighted Sobolev Space

In this paper, we consider Cauchy problem of space-time fractional diffusion-wave equation. Applying Laplace transform and Fourier transform, we establish the existence of solution in terms of Mittag-Leffler function and prove its uniqueness in weighted Sobolev space by use of Mikhlin multiplier theorem. The estimate of solution also shows the connections between the loss of regularity and the order of fractional derivatives in space or in time.

Numerical Studies of the Fractional Korteweg-de Vries, Korteweg-de Vries-Burgers’ and Burgers’ Equations

In this paper, we present an accurate numerical method to compute the approximate solutions of the Korteweg–de Vries, Korteweg–de Vries–Burger’s and Burger’s equations with Liouville–Caputo fractional space derivatives, respectively. We implement the spectral collocation method based on the shifted Chebyshev polynomials. The method reduces each model to a set of ODEs which is solved by using the finite difference method. The results obtained by the proposed method are compared with exact solutions, the q-homotopy analysis transform method and the variational iteration method. The efficiency and the accuracy of the results were ascertained by comparing the approximate solution with the exact solution in the case of classical models and evaluating the residual error function in the case of fractional models.

A note on the adaptive numerical solution of a Riemann–Liouville space-fractional Kawarada problem

This paper concerns the approximation and numerical solution of a singular fractional reaction–diffusion problem. A Riemann–Liouville space-fractional derivative oriented Laplacian is incorporated. While our spatial discretization is fulfilled though combined standard and shifted Grünwald formulas, temporal integration is accomplished via an implicit adaptive Crank–Nicolson scheme. It is proven that under proper constraints of the spatial and temporal discretization parameters, the numerical procedure implemented is positive, monotone and numerically stable. Simulation experiments are given to validate correlations between the fractional derivative and critical values including critical lengths, quenching times and locations.

Algorithm solution for space-fractional diffusion equations

In this study, we propose approximate algorithm solution of the space-fractional diffusion equation (SFDE’s) based on a quarter-sweep (QS) implicit finite difference approximation equation. To derive this approximation equation, the Caputo’s space-fractional derivative has been used to discretize the proposed problems. By using the Caputo’s finite difference approximation equation, a linear system will be generated and solved iteratively. In addition to that, formulation and implementation algorithm the Quarter-Sweep AOR (QSAOR) iterative method are also presented. Based on numerical results of the proposed iterative method, it can be concluded that the proposed iterative method is superior to the FSAOR and HSAOR iterative method.