Numerical solution of the time-fractional Fokker-Planck equation with general forcing

Abstract

We study two schemes for a time-fractional Fokker-Planck equation with space- and time-dependent forcing in one space dimension. The first scheme is continuous in time and is discretized in space using a piecewise-linear Galerkin finite element method. The second is continuous in space and employs a time-stepping procedure similar to the classical implicit Euler method. We show that the space discretization is second-order accurate in the spatial $L_2$-norm, uniformly in time, whereas the corresponding error for the time-stepping scheme is $O(k^α)$ for a uniform time step $k$, where $α\in(1/2,1)$ is the fractional diffusion parameter. In numerical experiments using a combined, fully-discrete method, we observe convergence behaviour consistent with these results.