A fast O(N log N) finite difference method for the one-dimensional space-fractional diffusion equation

This paper proposes an approach for the space-fractional diffusion equation in one dimension. Since fractional differential operators are non-local, two main difficulties arise after discretization and solving using Gaussian elimination: how to handle the memory requirement of O(N) for storing the dense or even full matrices that arise from application of numerical methods and how to manage the significant computational work count of O(N) per time step, where N is the number of spatial grid points. In this paper, a fast iterative finite difference method is developed, which has a memory requirement of O(N) and a computational cost of O(N logN) per iteration. Finally, some numerical results are shown to verify the accuracy and efficiency of the new method.