A Finite Difference Approximation For Time Fractional Fokker-Planck Equation

This paper provides a finite difference discretization for the backward Fokker-Planck equation,governing the distribution of functionals of[Y.Chen,X.D.Wang,W.H.Deng,J.Phys.A:Math.Theor.,51(2018)495001].The Caputo fractional derivative is discrete by L~1scheme and the Riemann-Liouville fractional derivative is discrete by G-L scheme.The method of Fourier analysis is used to prove stability and convergence.Finally,we verify the rationality of the numerical solution and obtain first-order precision format.