A Characteristic Difference Scheme for Time-Fractional Heat Equations Based on the Crank-Nicholson Difference Schemes

We consider the numerical solution of a time-fractional heat equation, which is obtained from the standard diffusion equation by replacing the first-order time derivative with Riemann-Liouville fractional derivative of order α, where . The main purpose of this work is to extend the idea on Crank-Nicholson method to the time-fractional heat equations. We prove that the proposed method is unconditionally stable, and the numerical solution converges to the exact one with the order . Numerical experiments are carried out to support the theoretical claims.

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