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Mathematical Computation
September 2013, Volume 2, Issue 3, PP.40-47
An Alternating Direct Implicit Method for Time-
Fractional Diffusion Equation in Two Space
Dimensions
J ing Gao, Huanzhen Chen
#
School of Mathematical Sciences, Shandong Normal University, Jinan Shandong 250014, China
#Email: chhzh@sdnu.edu.cn
Abstract
In this paper, an alternating direct implicit method is proposed to approximate a kind of time-fractional diffusion equation, which
possesses simple calculation and higher stability. By means of the Fourier analysis, the unconditional stability of discretization
schemes as well as the optimal convergence accuracy of the format concerning the time and space has been verified.
Keywords: Time-fractional Diffusion Equation; Alternating Direct I mplicit Method; Unconditional Stability; The Optimal
Convergence Accuracy

*

250014

;; ;

( ) ( ) ( )
( ) ( ) ( |
( ) ( ) ( ) ( ) ( |
( ) ( ) ( )
2 2
2 2
, , , , , ,
, , , , , 0, ,
0, , , 0, 1, , ,1, 0, 0, ,
, , 0 , , 0,1 .
u x y t u x y t u x y t
f x y t x y t T
t x y
u y t u x t u y t u x t t T
u x y x y
o
o
o
c c c
= + + eO

c c c

= = = = e

= e

(1)

2
[0,1] O= , ( , ) x y , ( , ) , f x y t
( ) , , u x y t
t
o
o
c
c
Caputo

[8]

( )
( )
( )
( ) ( )
0
, , , ,
1
, 0 , 0,1 ,
1
t
u x y t u x y s
t s ds t T
t s
o
o
o
o
o

c c
= s s e
}
c I c
( ) I gamma (2)

*
(10971254, 11171193),(ZR2009AZ003, ZR2011AM016)

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Green
[13,14]
-Legendre
[12]

[6,7,9,12]

2
( ) O M N
2 2
( ) O M N

3 2
( ) O M N
2 2
( ) O M N
4 5
1
(1)
M N
1
h
M
=
T
N
t = ,
i
x ih = ,
j
y jh = ,
n
t nt = ,
( , , )
i j n
x y t , , 0,1, , ; 0,1, , . i j M n N = =
( )
, ,
n
ij i j n
u u x y t = ,
( )
, ,
n
ij i j n
f f x y t =
(2)
( )
( )
( )
( )
( )
( )
( )
( )
( )
( ) ( )
( )
( ) ( ) ( )
0
1 1
1 1 1 1
1 2
1 1
, , , ,
1
1
, ,
1
1
1 1
1 O 1 .
2 2
n
t
i j n i j
n
l n
i j
l l
n n
l l
ij ij
l l
u x y t u x y s
t s ds
t s
u x y s
n s ds
s
u u n l n l n l n l
o
o
o
t
o
t
o o o o
o o
o
t
o
t t
o o

=

= =
c c
=
}
c I c
c
= }
I c
( (
( = + + +

I I
(3)

( )
( )
( )
,
1
1
1
,
2
1
l
l l
o
o t
o
o o
o t
o
e

N T t = (3)
( )
( )
( )
( )
( )
( )
( )
( )
1 2 (1 )
, 1
1
1
,
1
, ,
1
O
2
O .
n
i j n
l l
ij ij n l
l
n
n l n l
ij ij l
l
u x y t
u u N
t
u u
o
o o o
o t
o
o
o t
o e t
o
o e t

+
=
+
=
c
= +
c I
= +
(4)

( )
, ,
i j n
u x y t
t
o
o
c
c

( ) n
t ij
D u
o

( )
( )
( ) ( )
( ) ( ) 1 1 1
, 1 , ,
1 2
n n
n l l n n n l n l
t ij ij ij n l ij ij ij ij l
l l
D u u u u u u u
o o o
o t o t o t
o e o o e
+
+
= =
= = +
(5)

( )
( )
( )
, ,
O .
i j n
n
t ij
u x y t
D u
t
o
o
o
t
c
= +
c

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( ) n
t ij
D u
o

( )
, ,
i j n
u x y t
t
o
o
c
c
( ) O . t

2 2
1, 1, , 1 , 1
2 , 2
x ij i j ij i j y ij i j ij i j
U U U U U U U U o o
+ +
= + = + x
y
(1)
n=1
1 1 1
0 2 2 0
2 2 2
,
1 1
1 2 2 1 1
2 2
,
1
,
2 2 2
1
.
2 2 2
ij ij x ij y ij ij
ij ij x ij y ij ij
U U U U f
U U U U f
o t
o t

o o
o

o o
o

= + +

= + +

1
1
2
2
2
x ij
U
h
o

xx
u
1
2
2
2
y ij
U
h
o

yy
u
1
2

1
2
2
2
x ij
U
h
o

xx
u
1
2
2
2
y ij
U
h
o

yy
u 1
1 n >
1 1 1
1 2 2 1
2 2 2
,
1 1
2 2
2 2
,
1 1
,
2 2 2 2
1 1
, 1.
2 2 2 2
n n n
n n n
ij ij x ij y ij ij U
n n
n n n n
ij ij x ij y ij ij U
U U U U f
U U U U f n
o t
o t

o o |
o

o o |
o

= + +

= + + >

(6)

( ) ( ) ( )
( )
( ) 1 1 0
2 1
3
0, 1
, 2.
n
n
U n n l
ij l l ij ij n
l
n
U U U n
o o o o
|
e e e e
+

=
=

=

+ >

(7)
0 0
0
0, , 0,1, , ; 0,1, , .
, , 0,1, , .
n n n n
j i Mj iM
ij ij
U U U U i j M n N
U i j M
= = = = = =
= =
(8)
2

[6]
1 1, 2, , l = (6)
( )
l
o
e
( ) ( ) ( )
1
0, .
l l l
o o o
e e e

> >
1

n
ij
U (6)-(8) , 0,1, ; 0,1, , , i j M n N = =
n
ij
U
( )
( )
1 1 1 1
2 2 2 2
, , , , ,
,
0, .
n
ij n
i i j j
U x y x x y y
U x y
+ +
| | | |
e

| |
=
\ . \ .

( ) ,
n
U x y
( ) ( )
( )
, , .
p q
I i h j h n n
p q
U x y p q e
| u

=+ =+
+
= =
=
(9)

1 1
( )
0 0
( , ) ( , ) .
n n I i h j h
p q U x y e
| u

+
=
} }

2 2 p q
L L
t t
u | = = 1 I = n
( )
n n
ij
M M
U U

=

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( ) ( )
2 2 2 2
1 1
2
0 0
2 2
0 0
, , .
M M
n n n n
ij
i j
U h U U x y U x y
= =
= = =
} }
Parseval
[6]

( )
2
2
2
2
| , | .
p q
n n
p q
U p q
=+ =+
= =
=
(10)
2
n
:
0
| | | | .
n
s (11)
1
2 2 1
2
1
2 2
2
1
,
2 2 2
1
, 1.
2 2 2
n
n n
x ij y ij U
n
n n
y ij x ij U
E U E U
E U E U n

o o |

o o |

| | | |
= +
| |
\ . \ .

| | | |

= + >
| |

\ . \ .
(12)

2
x
o
2
y
o E (12)
1
2
n
1
2
n
ij
U

2 2 2 2 1
, 1.
2 2 2 2
n n n
x y ij x y ij U
E E U E E U n

o o o o |

| || | | || |
= + + >
| | | |
\ .\ . \ .\ .
(13)
(10)(13)
( )
,
1 ( )
,
1 ( ) ( )
, 2
(1 ( 2))(1 ( 2))
2 2
(1 ( 2))(1 ( 2))
2 2
( . )
n Ii h Ii h Ij h Ij h I i h j h
p q
n Ii h Ii h Ij h Ij h I i h j h
p q
n
n l n l I i h j h
l
p q l
e e e e e
e e e e e
e
| | | | | u
| | | | | u
o | u

e
+
+
=
+
+
=
+
+ +
= =
+ +
= + + + +
+
(14)
(14)
2 2
1 0
2 2
1 2 sin 1 2 sin
2 2
.
1 2 sin 1 2 sin
2 2
y
x
y
x
h
h
h
h
u
|

u
|

| |
| |

| |
\ .
\ .
=
| |
| |
+ +
| |
\ .
\ .
(15)
( ) ( ) ( )
( )
( )
2 2
1 1 0
2 1
1 3
2 2 2 2
1 2 sin 1 2 sin
2 2
, 2.
1 2 sin 1 2 sin 1 2 sin 1 2 sin
2 2 2 2
y
x n
n n l
l l n
n n l
y y
x x
h
h
n
h h
h h
o o o o
u
|

e e e e

u u
| |

+

=
| |
| |

| |
+ +
\ .
\ .
= + >
| | | |
| | | |
+ + + +
| | | |
\ . \ .
\ . \ .
(16)
(11)
1 0
| | | | s
1 0
| | | |
n

s 1, 2, n =
(15)1
( ) ( ) ( )
( )
( )
( ) ( ) ( )
( )
( )
2 2
2 2 1 1 0
2 1
3
2 2 2 2 2 0 0
2 1
3
1 2 sin 1 2 sin | |
2 2
1 2 sin 1 2 sin | | | | | |
2 2
1 2 sin 2 sin 4 sin sin | | | | |
2 2 2 2
y n x
n
y n n l x
l l n
l
n
y y
x x
l l n
l
h
h
h
h
h h
h h
o o o o
o o o o
u
|

u
|
e e e e
u u
| |
e e e e
+

=
| |
| |
+ +
| |
\ .
\ .
| |
| |
s + +
| |
\ .
\ .
| |
s + + + + +
|
\ .
0
2 2 0
|
1 2 sin 1 2 sin | |
2 2
y
x
h
h

u
|

| |
| |
s + +
| |
\ .
\ .

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0
| | | |
n
s (11)

1 (6)-(8)

n
ij
U
n
ij
u (6)-(8)
, , 0,1, , ; 0,1, ,
n n n
ij ij ij
U u i j M n N c = = =
(6)-(8)
1 1
2 2 1
2 2
1 1
2 2
2 2
1
,
2 2 2
1
, 2.
2 2 2
n n
n n n
ij ij x ij y ij
n n
n n n
ij ij x ij y ij
n
c
c

c c o c o c |

c c o c o c |

= +

= + >

(17)
0 0
0, , 0,1, , ; 0,1, , .
n n n n
j i Mj iM
i j M n N c c c c = = = = = =

( )
n n
ij
M M
c c

= 2
( ) ( )
2 2 2 2
0 0
2 2
, , .
p q p q
n n
p q p q
p q p q c c
=+ =+ =+ =+
= = = =
= s =

3
(6)
(6)
1 1
1 2 2 1
2 2
,
1
( ) ( ) .
2 2
n n
n n n n n n
ij ij x ij y ij ij ij ij U
U U U U U f f
o t

o o |
o

= + + + + (18)
1 1
1 2 1
2 2
,
1
2 ( ) ( ).
2 2
n n
n n n n n
ij ij ij y ij ij ij ij
U U U U U f f
o t

o
o

= + + (19)
(19)(18)
( )
1 2 2 1 1
1
,
2 1 1
2 2 1 1 2
2 2
, ,
1
( )( ) ( )
2 2
1
( ) ( ) ( ), 1.
4 2 4
n
n l n l n n n n
ij ij l x y ij ij ij ij
l
n n
n n n n
x y ij ij ij ij x ij ij
U U U U f f
U U f f f f n
o
o t
o t o t

e o o
o

o o o
o o
+
=

= + + + +
+ + >
(20)

n n n
ij ij ij
u U q =
( )
2
1 2 2 1 2 2 1
2
1
,
1
( )( ) ( ) ,
2 4
n
n l n l n n n n n
ij ij l x y ij ij x y ij ij ij
l
R
h
o
o t

q q e o o q q o o q q
o
+
=
= + + + (21)

( )
1 2 2 1 1
1
,
2 1 1
1 2 2 1 2
2 2
, ,
1
( )( ) ( )
2 2
1
( ) ( ) ( ).
2 4 4
n
n n l n l n n n n
ij ij ij l x y ij ij ij ij
l
n n
n n n n
ij ij x y ij ij x ij ij
R u u u u f f
f f u u f f
o
o t
o t o t

e o o
o

o o o
o o
+
=

= + + +
+ +
(22)
Taylor
2 2
2
2 2
2 2
2
2 2
( , , )
( ),
( , , )
( ),
n
x ij i j n
n
y ij i j n
u u x y t
O h
h x
u u x y t
O h
h y
o
o
c
= +
c
c
= +
c

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2 2 4
2
4 2 2
( , , )
( ),
n
x y ij i j n
u u x y t
O h
h x y
o o c
= +
c

1
2
2
( , , )
( ),
2
n
i j n n
ij ij
u x y t
u u O
t
t
t
c
= +
c

(4)(1)
2 1 2 1
2 1
2 2
, ,
1 1
5 3
2 2
2 2 2 2 2
2 2 2 2 2
, , ,
,
( ) ( )
1 1
( ( )) ( ( ) )
2
1 1 1
( ( )) ( ( )) ( ( ))
2 2 4
1
(
n n n n n
ij ij ij ij ij n n n
ij ij ij
n n
n
ij ij ij
n
ij
u u u u u
R O O h f f
t x y
f u f
O O h O h
t x y t x t
u
t
o
o
o t o t
o t o t o t
o
o
o t
t
o o
t t t t t t
o o o
o

c c + c +
= + + + + +
c c c
c c c
+ + + + + + +
c c c c c c
c
=
c
2 1 2 1
2 1
2 2
1 2 1 1 2 2 2
1 2
( ) ( )
1
( ( ) ))
2
( ) ( )
( ).
n n n n
ij ij ij ij n n
ij ij
u u u u
O h f f
x y
O h O h
O h
o o o o o
o o
t t t t t
t t

+ + +
+
c + c +
+ + + +
c c
+ + + + +
= +

1 2
| | ( ),
n
ij
R C h
o o
t t
+
s + C
4 4
4 4
, ,
n n n
ij ij ij
u u f
y x t
c c c
c c c
u
2
n
ij
U (6)
n
ij
u , 1, 2, , ; 1, 2, , i j M n N = = , C
2
| | ( ).
n n
ij ij
u U C h t s +

0 0
1 ,
| | max | |,
n n
i j ij
i j M
q q
s s
=
0 0 0 0
0 0 0 0
0 0 0 0
1 2 2 1
2 2 0 1
2 2 0 1
1 2
( )
1
| | | ( )( ) |
2 2
| ( )( ) |
2 2
| ( )( ) | | |
2 2
1
( ).
i j x y i j
x y i j i j
x y i j i j
E E
E E R
E E R
C h
o o
o

q o o q

o o q

o o q
t t
e
+
s
= + + +
s + + +
s +

0,1, , 1, k n =
0 0
1 2
( )
1
| | ( ),
k
i j
k
C h
o o
o
q t t
e
+
s +
( ) ( )
1 1
k n
o o
e e
s

0 0
1 2
( )
1
| | ( ).
n
i j
n
C h
o o
o
q t t
e
+
s +
0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
2 2
1
2 2 1 1
1
2
1
( ) ( ) 2 2 1 2 2 1
1
1
( ) (
1
| | | ( )( ) |
2 2
| ( )( ) ( ) |
2 2
| ( ) | | ( ) | | | | |
2 4
(
n n
i j x y i j
n
n n l n l n
x y i j i j i j l i j
l
n
n l n n n
l l i j x y i j x y i j i j
l
l l
E E
E E R
R
o
o o
o

q o o q

o o q q q e

e e q o o q o o q
e e

+
=

+
=
+
s
= + + +
s + + + +
s
0 0
1
) 1 2
1
1
( ) ( ) ( ) 1 2
1 ( )
1
1 2
( )
) | | ( )
1
( ( ) ) ( )
1
( ).
n
n l
i j
l
n
l l n
l
n
n
C h
C h
C h
o o o
o o o o o
o
o o
o
q t t
e e e t t
e
t t
e

+
=

+
+
=
+
+ +
s + +
= +

- 46 -
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( ) 1 1
1
( 1) ( 1) 1 1
lim lim lim
1
( 1) 1
(1 )(1 )
1
n n n
n
n n
n n
n
o o
o o o
o e o
o

= = =

+

( 1) n T
o o o
t s
0 0
2
| | ( ).
n
i j
C h q t s +

2
( ) O h t +
4

( ) ( ) ( )
( ) ( )
2 2
2
2 2
, , , , , ,
, , , , , [0,1] (0, ].
u x y t u x y t u x y t
f x y t x y t T
t x y
o
o
c c c
= + + e
c c c

( )
( )
( )
2
2 2
2
, , 2 1 sin sin .
3
t
f x y t t x y
o
t t t
o

| |
= + +
|
|
I
\ .

( , , 0) sin sin , u x y x y t t = ( ) ( ) ( ) ( ) 0, , , 0, 1, , ,1, 0, (0, ]. u y t u x t u y t u x t t T = = = = e

( )
2
( , , ) 1 sin sin . u x y t t x y t t = +

o
,

2
1
ln( )
ln(2)
h
h
u U
u U

1o
1
2

1
4
2
1
1 o 0.3, 0.5, 0.8, T=1
o =0.3 o =0.5 o =0.8
h t

|u-U| order |u-U| order |u-U| order
1/4 1/16 0.1327 \ 0.1314 \ 0.1315 \
1/8 1/64 0.0322 2.04 0.0319 2.04 0.0320 2.04
1/16 1/256 0.0080 2.01 0.0079 2.01 0.0079 2.01
1/32 1/1024 0.0020 2.00 0.0019 2.00 0.0020 2.00

( 1) o =
2
1
N
t
=

1
M
h
=

2

2
M N
2 2
M N

3
M N
3 2
M N

2
M N
2 2
M N
2
N

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REFERENCES
[1] C. M. Chen, F. Liu and K. Burrage. Finite Difference Methods and a Fourier Analysis for Fractional ReactionSubdiffusion
Equation. Appl. Math. Comput.198 (2008) 754 769.
[2] E. Scalas, R. Gorenflo, F. Mainardi. Fractional Calculus and Continuous-Time Finance. Physica A 284 (2000) 376 384.
[3] F. Mainardi, M. Raberto, R. Gorenflo, et al. Fractional Calculus and Continuous-Time Finance II: The Waiting-Time Distribution.
Physica A 287 (2000) 468 481.
[4] M. Raberto, E. Scalas and F. Mainardi. Waiting-Times and Returns in High-Frequency Financial Data: an Empirical Study.
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1
1988-

Email: gj_tengfei@163.com
2
1957-
1998
Email: chhzh@sdnu.edu.cn