Numerical methods and regularity properties for viscosity solutions of nonlocal in space and time diffusion equations

Abstract We consider a general family of nonlocal in space and time diffusion equations with space-time dependent diffusivity and prove convergence of finite difference schemes in the context of viscosity solutions under very mild conditions. The proofs, based on regularity properties and compactness arguments on the numerical solution, allow to inherit a number of interesting results for the limit equation. More precisely, assuming Hölder regularity only on the initial condition, we prove convergence of the scheme, space-time Hölder regularity of the solution, depending on the fractional orders of the operators, as well as specific blow up rates of the first time derivative. The schemes’ performance is further numerically verified using both constructed exact solutions and realistic examples. Our experiments show that multithreaded implementation yields an efficient method to solve nonlocal equations numerically.