IDEAS home Printed from https://ideas.repec.org/a/eee/apmaco/v346y2019icp155-166.html
   My bibliography  Save this article

Numerical analysis and fast implementation of a fourth-order difference scheme for two-dimensional space-fractional diffusion equations

Author

Listed:
  • Xing, Zhiyong
  • Wen, Liping

Abstract

In this paper, a fourth-order difference scheme (FODS) is proposed for solving the two-dimensional Riesz space-fractional diffusion equations with homogeneous Dirichlet boundary conditions. It is proved that the FODS is uniquely solvable, unconditionally stable, and convergent with order O(τ2+hx4+hy4) in the discrete L∞- norm, where τ is the time step size, and hx, hy are the space grid sizes in the x direction and the y direction, respectively. Based on the special structure and symmetric positive definiteness of the coefficient matrix, a fast method is developed for the implementation of the FODS. The fast method reduces the storage requirement of O(N2) and computational cost of O(N3) down to O(M+J) and O(Nlog N), where N=MJ,M and J are the numbers of the spatial grid points in the x direction and the y direction, respectively. Finally, several numerical results are shown to verify the theoretical results and the efficiency of the fast method.

Suggested Citation

  • Xing, Zhiyong & Wen, Liping, 2019. "Numerical analysis and fast implementation of a fourth-order difference scheme for two-dimensional space-fractional diffusion equations," Applied Mathematics and Computation, Elsevier, vol. 346(C), pages 155-166.
    • Handle: RePEc:eee:apmaco:v:346:y:2019:i:c:p:155-166
    DOI: 10.1016/j.amc.2018.10.057
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0096300318309238
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.amc.2018.10.057?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Chen, S. & Liu, F. & Jiang, X. & Turner, I. & Anh, V., 2015. "A fast semi-implicit difference method for a nonlinear two-sided space-fractional diffusion equation with variable diffusivity coefficients," Applied Mathematics and Computation, Elsevier, vol. 257(C), pages 591-601.
    2. Raberto, Marco & Scalas, Enrico & Mainardi, Francesco, 2002. "Waiting-times and returns in high-frequency financial data: an empirical study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 314(1), pages 749-755.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Xiaoyong Yang & Zhendong Luo, 2022. "An Unchanged Basis Function and Preserving Accuracy Crank–Nicolson Finite Element Reduced-Dimension Method for Symmetric Tempered Fractional Diffusion Equation," Mathematics, MDPI, vol. 10(19), pages 1-13, October.
    2. Xing, Zhiyong & Wen, Liping & Wang, Wansheng, 2021. "An explicit fourth-order energy-preserving difference scheme for the Riesz space-fractional Sine–Gordon equations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 181(C), pages 624-641.
    3. Zhao, Jingjun & Li, Yu & Xu, Yang, 2019. "An explicit fourth-order energy-preserving scheme for Riesz space fractional nonlinear wave equations," Applied Mathematics and Computation, Elsevier, vol. 351(C), pages 124-138.
    4. Almushaira, Mustafa, 2023. "An efficient fourth-order accurate conservative scheme for Riesz space fractional Schrödinger equation with wave operator," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 210(C), pages 424-447.
    5. Qu, Wei & Li, Zhi, 2021. "Fast direct solver for CN-ADI-FV scheme to two-dimensional Riesz space-fractional diffusion equations," Applied Mathematics and Computation, Elsevier, vol. 401(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Zeid, Samaneh Soradi, 2019. "Approximation methods for solving fractional equations," Chaos, Solitons & Fractals, Elsevier, vol. 125(C), pages 171-193.
    2. Scalas, Enrico & Kaizoji, Taisei & Kirchler, Michael & Huber, Jürgen & Tedeschi, Alessandra, 2006. "Waiting times between orders and trades in double-auction markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 463-471.
    3. Staccioli, Jacopo & Napoletano, Mauro, 2021. "An agent-based model of intra-day financial markets dynamics," Journal of Economic Behavior & Organization, Elsevier, vol. 182(C), pages 331-348.
    4. Jiang, Zhi-Qiang & Chen, Wei & Zhou, Wei-Xing, 2009. "Detrended fluctuation analysis of intertrade durations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(4), pages 433-440.
    5. Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2004. "Anomalous waiting times in high-frequency financial data," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 695-702.
    6. Berardi, Luca & Serva, Maurizio, 2005. "Time and foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 353(C), pages 403-412.
    7. Masoliver, Jaume & Montero, Miquel & Perello, Josep & Weiss, George H., 2006. "The continuous time random walk formalism in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 61(4), pages 577-598, December.
    8. Guglielmo D'Amico & Filippo Petroni, 2020. "A micro-to-macro approach to returns, volumes and waiting times," Papers 2007.06262, arXiv.org.
    9. Luo, Wei-Hua & Huang, Ting-Zhu & Wu, Guo-Cheng & Gu, Xian-Ming, 2016. "Quadratic spline collocation method for the time fractional subdiffusion equation," Applied Mathematics and Computation, Elsevier, vol. 276(C), pages 252-265.
    10. repec:hal:spmain:info:hdl:2441/5mqflt6amg8gab4rlqn6sbko4b is not listed on IDEAS
    11. Scalas, Enrico & Viles, Noèlia, 2014. "A functional limit theorem for stochastic integrals driven by a time-changed symmetric α-stable Lévy process," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 385-410.
    12. Cen, Zhongdi & Le, Anbo & Xu, Aimin, 2017. "A robust numerical method for a fractional differential equation," Applied Mathematics and Computation, Elsevier, vol. 315(C), pages 445-452.
    13. Meerschaert, Mark M. & Mortensen, Jeff & Wheatcraft, Stephen W., 2006. "Fractional vector calculus for fractional advection–dispersion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 181-190.
    14. Scalas, Enrico, 2006. "The application of continuous-time random walks in finance and economics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 362(2), pages 225-239.
    15. Scalas, Enrico, 2007. "Mixtures of compound Poisson processes as models of tick-by-tick financial data," Chaos, Solitons & Fractals, Elsevier, vol. 34(1), pages 33-40.
    16. Wael W. Mohammed & Meshari Alesemi & Sahar Albosaily & Naveed Iqbal & M. El-Morshedy, 2021. "The Exact Solutions of Stochastic Fractional-Space Kuramoto-Sivashinsky Equation by Using ( G ′ G )-Expansion Method," Mathematics, MDPI, vol. 9(21), pages 1-10, October.
    17. Cappellini, Alessandro & Ferraris, Gianluigi, 2007. "Waiting Times in Simulated Stock Markets," MPRA Paper 7324, University Library of Munich, Germany.
    18. Guglielmo D'Amico & Filippo Petroni, 2011. "A semi-Markov model with memory for price changes," Papers 1109.4259, arXiv.org, revised Dec 2011.
    19. Tarasov, Vasily E., 2020. "Fractional econophysics: Market price dynamics with memory effects," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
    20. Jiang, Zhi-Qiang & Chen, Wei & Zhou, Wei-Xing, 2008. "Scaling in the distribution of intertrade durations of Chinese stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(23), pages 5818-5825.
    21. Vasily E. Tarasov & Valentina V. Tarasova, 2019. "Dynamic Keynesian Model of Economic Growth with Memory and Lag," Mathematics, MDPI, vol. 7(2), pages 1-17, February.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:apmaco:v:346:y:2019:i:c:p:155-166. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: https://www.journals.elsevier.com/applied-mathematics-and-computation .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.