Self-similar stochastic models with stationary increments for symmetric space-time fractional diffusion

Abstract

In this work, we propose novel discretisations of the spectral fractional Laplacian on bounded domains based on the integral formulation of the operator via the heat-semigroup formalism. Specifically, we combine suitable quadrature formulas of the integral with a finite element method for the approximation of the solution of the corresponding heat equation. We derive two families of discretisations with order of convergence depending on the regularity of the domain and the function on which the fractional Laplacian is acting. Unlike other existing approaches in literature, our method does not require the computation of the eigenpairs of the Laplacian on the considered domain, can be implemented on possibly irregular bounded domains, and can naturally handle different types of boundary constraints. Various numerical simulations are provided to illustrate performance of the proposed method and support our theoretical results.