Second-Order L1 Schemes for Fractional Differential Equations

Difference schemes for the numerical solution of fractional differential equations rely on discretizations of the fractional derivative. In this paper, we obtain the second-order expansion formula for the L1 approximation of the Caputo fractional derivative. Second-order approximations of the fractional derivative are constructed based on the expansion formula and parameter-dependent discretizations of the second derivative. Examples illustrating the application of these approximations to the numerical solution of ordinary and partial fractional differential equations are presented, and the convergence and order of the difference schemes are proved. Numerical experiments are also provided, confirming the theoretical predictions for the accuracy of the numerical methods.