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Numerical method for the time fractional Fokker-Planck equation. (English) Zbl 1262.65087
Summary: In this paper, a new numerical algorithm for solving the time fractional Fokker-Planck equation is proposed. The analysis of local truncation error and the stability of this method are investigated. Theoretical analysis and numerical experiments show that the proposed method has higher order of accuracy for solving the time fractional Fokker-Planck equation.

MSC:
65L12 Finite difference and finite volume methods for ordinary differential equations
34A08 Fractional ordinary differential equations and fractional differential inclusions
26A33 Fractional derivatives and integrals
65L20 Stability and convergence of numerical methods for ordinary differential equations
Software:
FODE
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