A finite difference method for a two-point boundary value problem with a Caputo fractional derivative

A two-point boundary value problem whose highest-order term is a Caputo fractional derivative of order $δ\in (1,2)$ is considered. Al-Refai's comparison principle is improved and modified to fit our problem. Sharp a priori bounds on derivatives of the solution $u$ of the boundary value problem are established, showing that $u''(x)$ may be unbounded at the interval endpoint $x=0$. These bounds and a discrete comparison principle are used to prove pointwise convergence of a finite difference method for the problem, where the convective term is discretized using simple upwinding to yield stability on coarse meshes for all values of $δ$. Numerical results are presented to illustrate the performance of the method.

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