LAUSR

Abstract This paper is concerned with the construction and analysis of a high-order compact finite difference method for a class of time-fractional sub-diffusion equations under the Robin boundary condition. The diffusion coefficient of the equation may be spatially variable and the time-fractional derivative is in the Caputo sense with the order α ∈ ( 0 , 1 ) . A ( 3 − α ) th-order numerical formula (called the L2 formula here) without any sub-stepping scheme for the approximation at the first-time level is applied to the discretization of the Caputo time-fractional derivative. A new fourth-order compact finite difference operator is constructed to approximate the variable coefficient spatial differential operator under the Robin boundary condition. By developing a technique of discrete energy analysis, the unconditional stability of the proposed method and its convergence of ( 3 − α ) th-order in time and fourth-order in space are rigorously proved for the general case of variable coefficient and for all α ∈ ( 0 , 1 ) . Further approximations are considered for enlarging the applicability of the method while preserving its high-order accuracy. Numerical results are provided to demonstrate the theoretical analysis results.