High order algorithms for the fractional substantial diffusion equation with truncated Lévy flights (1406.1868v2)

Abstract: The equation with the time fractional substantial derivative and space fractional derivative describes the distribution of the functionals of the L\'evy flights; and the equation is derived as the macroscopic limit of the continuous time random walk in unbounded domain and the L\'evy flights have divergent second order moments. However, in more practical problems, the physical domain is bounded and the involved observables have finite moments. Then the modified equation can be derived by tempering the probability of large jump length of the L\'evy flights and the corresponding tempered space fractional derivative is introduced. This paper focuses on providing the high order algorithms for the modified equation, i.e., the equation with the time fractional substantial derivative and space tempered fractional derivative. More concretely, the contributions of this paper are as follows: 1. the detailed numerical stability analysis and error estimates of the schemes with first order accuracy in time and second order in space are given in {\textsl{complex}} space, which is necessary since the inverse Fourier transform needs to be made for getting the distribution of the functionals after solving the equation; 2. we further propose the schemes with high order accuracy in both time and space, and the techniques of treating the issue of keeping the high order accuracy of the schemes for {\textsl{nonhomogeneous}} boundary/initial conditions are introduced; 3. the multigrid methods are effectively used to solve the obtained algebraic equations which still have the Toeplitz structure; 4. we perform extensive numerical experiments, including verifying the high convergence orders, simulating the physical system which needs to numerically make the inverse Fourier transform to the numerical solutions of the equation.