r-Modified Crank-Nicholson difference scheme for fractional parabolic PDE

Abstract

The second order of accuracy stable difference scheme for the numerical solution of the mixed problem for the fractional parabolic equation are presented using by r-modified Crank-Nicholson difference scheme. Stability estimate for the solution of this difference scheme is obtained. A procedure of modified Gauss elimination method is used for solving this difference scheme in the case of one-dimensional fractional parabolic partial differential equations. Numerical results for this scheme and the Crank-Nicholson scheme are compared in test examples.