Implicit numerical approximation scheme for the fractional Fokker-Planck equation

National Natural Science Foundation of PR China [10531080]; Scientific Research Foundation of Xiamen University of Technology [YKJ09016R]In this paper, we consider an anomalous subdiffusion process, governed by fractional Fokker-Planck equation. An effective numerical method for approximating Fokker-Planck equation in a bounded domain is presented. The stability and convergence of the numerical method are analyzed. Some numerical examples are presented to show the application of the present technique. The numerical results exhibit the good performance of our theoretical analysis. (C) 2010 Elsevier Inc. All rights reserved