Second-order LOD multigrid method for multidimensional Riesz fractional diffusion equation

We propose a locally one dimensional (LOD) finite difference method for multidimensional Riesz fractional diffusion equation with variable coefficients on a finite domain. The numerical method is second-order convergent in both space and time directions, and its unconditional stability is strictly proved. The matrix algebraic equations of the proposed second-order schemes are almost the same as the ones of the popular first-order finite difference method for fractional operators. And the matrices involved in the schemes of different convergence orders have completely same structure and the computational count for matrix vector multiplication is \(\fancyscript{O}(N \text{ log } N)\); and the computational costs for solving the matrix algebraic equations of the second-order and first-order schemes are almost the same. The LOD-multigrid method is used to solve the resulting matrix algebraic equation, and the computational count is \(\fancyscript{O}(N \text{ log } N)\) and the required storage is \(\fancyscript{O}(N)\), where \(N\) is the number of grid points. Finally, extensive numerical experiments are performed to show the powerfulness of the second-order scheme and the LOD-multigrid method.