Ministry of Higher Education and Scientific Research

Soran University
Faculty of Sciences
Department of Mathematics

The Grünwald–Letnikov method for

fractional differential equations

Prepared by:

Razhan Hussein Ahmad

Supervised by:

Dr Sheelan A. Osman

This project submitted to the Mathematical Department

in partial fulfillment of the requirements
for the degree of
Bachelor of Science (BSc)

Faculty of Science
May 2021
Dedication

I dedicate this project to :

• My best supervisor.

• Family members, dear friends and all who helped me.

• Anyone who searches for achieve knowledge in different areas.

1
Acknowledgments

First and foremost I have to share my full thanksgiving in the deep of my heart to Allah
for his showers of blessings throughout my work to complete the research successfully.
I would like to express my hard and sincere gratitude to my research supervisor, dear Dr
Sheelan A. Osman, for giving me the opportunity to research and provide valuable guid-
ance. Her dynamism, vision, sincerity and encouraging have deeply inspired me. She has
taught me the methodology to carry out the research and to present the research works
as clearly as possible. I want to mention that the most crucial thing is that she motivated
me to learn a very new important subject that interested me. It was a great privilege and
honor to work and study under her guidance. I am extremely grateful for what she offered
me. I also want to thank her for her friendship, empathy, and great sense of humor. I am
extremely grateful to my parents for their love, prayers, caring and sacrifices for educating
me and wanting success more than anyone then preparing me for my future. I also express
my thanks to my siblings and their children for their support, help and valuable prayers.
My special thanks goes to my best friends for the keen interest shown to complete this
thesis successfully.

Razhan

Soran
May 2021

2
Abstract

The study of the fractional differential equations has been highly concerned in the field of
mathematical modeling for many years. The main object of this project is to introduce
a fractional operator called Grünwald–Letnikov fractional derivative. In addition, the
properties with the proof based on the definition of the fractional integral and derivative
are derived carefully. Also, we provided the evaluation of the fractional derivatives of
some elementary functions. The space fractional Chemotaxis system is obtained from the
classical advection-diffusion equations of the chemotaxis system by replacing the spatial
derivative with a generalized derivative of fractional order. We found the approximate
solution of the Chemotaxis model by using the approximation of the Grünwald–Letnikov
derivative and the finite difference method.

Keywords:

Fractional calculus, Grünwald–Letnikov definition, Chemotaxis model, Finite difference,

Gamma function.

3
Contents

Contents

1 Introduction 5

2 The Grünwald–Letnikov(GL) fractional derivative 7

3 Properties of Grünwald-Letnikov fractional derivatives 11

4 Application of the GL fractional derivative 14

5 An implicit finite difference method for fractional Diffusion equation 17

6 Chemotaxis model by finite difference method 19

7 Conclusion 25

References 26

4
1 Introduction

1 Introduction

The name of fractional calculus stems from the fact that the order of derivatives and
integrals are fractions rather than integers. Early work on fractional calculus dates back to
the early nineteenth century [1] The idea of a fractional derivative originates in a letter from
Leibniz to L’Ho^pital in 1695 [2] in which Leibniz asks the question, “Can the meaning
of derivatives with integer order be generalized to derivatives with non-integer orders?”
Leibniz later wrote, “It will lead to a paradox, from which one day useful consequences
will be drawn.” The idea is that if we take two half-derivatives of a function, we should get
back its first derivative. In 1730 Leonhard Euler extended the integer- order derivative of
a monomial to non-integer order in terms of the Gamma function. In late 1800s Joseph
Liouville similarly extended the derivative formula acting on the exponential to non-integer
order. In that sense many first fractional derivatives of functions came from recursive
relationships. In this research we take a closer look at fractional derivatives. We consider
several important definitions of fractional derivatives, and cover several functions common
to the study of fractional calculus. A discrete fractional derivative often used in numerical
applications is the Grünwald–Letnikov fractional derivative. It was separately developed
by Grünwald–Letnikov (1867) and Letnikov (1868), and is an abstraction of the finite
difference formula. We know that for a first-order difference, we need a difference of two
points, for a second-order difference, we need a difference of three points, and so on. There
is also a sign change for each term, and in front of each term in the difference, there’s a
particular coefficient. If we take this formula and say it works for non-integer orders, then
we have a Grünwald–Letnikov fractional derivative. Just like in finite differences, we can
have a derivative in terms of backward or forward differences, which is the point of left-
sided and right-sided flavors of Grünwald–Letnikov derivative. For example, the left-sided
Grünwald–Letnikov derivative is defined as
n
!
GL α −α
X
r α t
a Dt f (t) = lim h (−1) f (t − rh), h = (1)
h→0
nh=t−a r=0 r n

 
α
where h = ∆x is the step size, and r
is the binomial coefficient, Γ(z) denotes the Gamma
function. Because we require knowledge of the function on an infinite domain, Grünwald
introduced in his original work the idea of a finite upper bound. In particular, he suggests
using n as the upper bound, defined by n = b t−a
h
c with n ∈ N . The floor function btc
gives the largest integer bounding t from the bottom, defined bybtc = maxm ∈ Z | m ≤ t.
In this research, we use a to denote the left endpoint of the domain, and b the right
endpoint. Similarly we can define the right-sided Grünwald–Letnikov derivative, opting

5
1 Introduction

out for forward differences instead of backward differences,

n
!
GL α −α
X
r α t
a Dt f (t) = lim h (−1) f (t + rh), h = (2)
h→0
nh=t−a r=0 r n

where the upper bound n is defined by n = b b−t

h
c. The Grünwald–Letnikov scheme is O(h)
accurate. A well-known property of the Grünwald–Letnikov derivative is that the contin-
uous limit of a Grünwald–Letnikov derivative is a Riemann-Liouville derivative. The most
important and the most accessible example of fractional dynamics is the study of fractional
diffusion (also known as anomalous diffusion). In the fractional diffusion equation the time
and/or the space derivatives are replaced by a fractional derivative. The mean squared dis-
placement of a particle undergoing fractional diffusion follows a Le’vy distribution, where
the width grows as tα and α is a system parameter that determines the diffusion regime.
For example, in the super diffusive regime when α > 1, the Le’vy distribution allows par-
ticles to jump farther than in a Gaussian-distributed random walk. This is supported by
the distribution’s diverging first and second integer moments, which establish the char-
acteristic length scale and statistical variability in the physical system. In other words,
a system undergoing fractional diffusion has multiple characteristic length (time) scales [3].

Definition 1.1 (Gamma function [4]). The Gamma function is the generalization of the
factorial function n!, defined by the integral formula
Z ∞
Γ(z) = tz−1 −t dt, (3)
0

where the integral converges absolutely for Re(z) > 0.

Properties of Gamma function

The properties of Gamma function are given by;

1. Γ(n) = (n − 1)! n ∈ N0

2. Γ(n + 1) = n! n ∈ N0

3. Γ(z + 1) = zΓ(z)
Γ(z+1)
4. Γ(z) = z
z<0

5. Γ(1) = Γ(2) = 1

6
2 The Grünwald–Letnikov(GL) fractional derivative

√ √
π
6. Γ( 12 ) = πΓ( 32 ) = 2

3√
√
π
7. Γ( 52 ) = 32 Γ( 23 ) = 32 . 2
= 4
π
Γ(− 12 )+1 4√
8. Γ(− 23 ) = − 32
= 3
π.

Definition 1.2 (Binomial distrubtion function [4]). The binomial distribution with size =
n and probability = p has density:
!
n r
p(r) = p (1 − p)n−r , for r = 0, · · · , n. (4)
r

The binomial coefficients can be computed in R. If an element of r is not integer, the

result of binomial is zero. !
n n!
= . (5)
r r!(n − r)!

2 The Grünwald–Letnikov(GL) fractional derivative

Suppose that the function f (t) is defined on the interval [a, b], and t is any fixed point
interior to the interval.
Let α be any number, positive, negative, or zero. Then Grünwald defines the value of the
GL α
fractional a Dt acting on f (t) at t ∈ (a, b), α > 0 as [4]:

n
!
GL α −α
X
r α t
a Dt f (t) = lim h (−1) f (t − rh), h = (6)
h→0
nh=t−a r=0 r n

and it can also be written as :

n−1
Γ(r − α) t
GL α
∼ lim h−α
X
a Dt f (t) f (t − rh), h = , α > 0 (7)
h→∞
r=0 Γ(r + 1) n

n
+ α −α
ωr(α) f (t − rh)
X
a Dt f (t) = lim h
h→0
nh=t−a r=0
n
− α
= lim h−α ωr(α) f (t + rh)
X
b Dt f (t) (8)
h→0
nh=t−b r=0

Equation (8) is called left–side and right–side Grünwald–Letnikov fractional derivatives.

Here we have ω0 (α) = 1, and for 1 ≤ r we get

(α)
ω1 = −α (9)

7
2 The Grünwald–Letnikov(GL) fractional derivative

α + 1 (α)
ωr(α) = (1 − )ωr−1 . (10)
r
Lemma 2.1. When 0 < α < 1, the coefficients ωr(α) satisfy the followings [5]:

 
(α) α
(a) 1. ω0 = 1 , where ωr(α) = (−1)r r
.
(α)
2. ω1 = −α.
3. ωr(α) < 0, r = 2, 3, · · ·

Proof. (1) Let r = 0, then we have

!
α
r
ωr(α) = (−1)
r
!
0 α
= (−1)
0
α!
= (1)( )
(α − 0)!0!
= (1)(1)
=1

Proof. (2) Let r = 1, then we obtain

α+1
 
(α)
ωr(α) = 1− ωr−1
r 
α+1

(α)
= 1− ω0
1
= (1 − α − 1) ∗ 1
= −α (11)

Proof. (3) By mathematical induction , if r = 2 then

α+1
 
(α) (α)
ω2 = 1− ω1
2
1−α
=( ). − α
2
1
= (α2 − α), for 0 < α < 1 is true
2

8
2 The Grünwald–Letnikov(GL) fractional derivative

Suppose that it is true for r = m, m > 2, m ∈ N then

α+1
 
(α) (α)
ωm = 1− ωm−1 < 0
m

We have to show that it is true for r = m + 1, gives

α+1
 
(α) (α)
ωm+1 = 1− ωm
m + 1
m−α
 
(α)
= ωm <0
m+1
 
(α) m−α
because ωm < 0 (by assumption), and m+1
> 0, ∀2 < m ∈ N .
Therefore ωr(α) < 0, ∀r = 2, 3, · · ·

(α)
(b) ωr+1 − ωr(α) > 0 for r = 1, 2, 3, . . .

Proof. We have the relation

α+1 α+1
   
(α) (α)
ωr+1 − ωr(α) = 1− ωr(α) − 1 − ωr−1
r + 1 r
α+1 α+1 α+
    
(α) (α)
= 1− 1− ωr−1 − 1 − ωr−1
r + 1 r r
α+1 α+1
  
(α)
= 1− −1 1− ωr−1
r + 1 r
α+1 α+1
  
(α)
=− 1− ωr−1
r+1 r

For r ≥ 2, then the signs in the above expression are − + +−, while for r = 1, the
signs are − + −+. In either case, the result is positive.

P∞
(c) r=0 ωr(α) = 0.

Proof. To show (c), start with left hand side to give

∞
(α) (α)
ωr(α) = ω0 + ω1 + ... + ωn(α) , where n = 0, 1, . . . , ∞
X

r=0
! !
α α α!
= (−1) 0
+ (−1)1 + ... + (−1)n
0 1 (α − n)!n!

α!
If Sn = (−1)n (α−n)!n! ,

9
2 The Grünwald–Letnikov(GL) fractional derivative

P∞
and S = r=0 ωr(α) , then

S = lim Sn
n→∞
α!
lim (−1)n
= n→∞
(α − n)!n!
=0

Hence we get
∞
ωr(α) = 0.
X

r=0

b−a
Lemma 2.2. Let f (t) ∈ C n [a, b], α ≥ 0, N = h
, i.e 0 < n − 1 < α < n, n ∈ N and
f (t) has a continuous derivative, then the finite (left-right) Grünwald-Letnikov formula is
equivalent to the (left-right) Riemman-Liouville formula. i.e

d 1−a
h
e
GL α
= h−α ωr(α) f (t − rh) = RL α
X
a Dt f (t) a+ Dt f (t)
r=0
d 1−a
h
e
= h−α ωr(α) f (t − rh) + O(h)
X

r=0

where d.e denotes the ceiling function that rounds up to nearest integer.

Lemma 2.3. The Laplace transformation of the derivative of integer n is given by:

n−1 n−1
L {f n (t); s} = sn F (s) − sn−r−1 f (r) (0) = sn F (s) − sr f (n−r−1) (0)
X X

r=0 r=0

where we define the Laplace transformation of a function f (t) for t ∈ R ≥ 0 and s ∈ C as

the function F (s) such that F (s) = L {f (t); s} =
R ∞ −st
0 e f (t)dt.

10
3 Properties of Grünwald-Letnikov fractional derivatives

3 Properties of Grünwald-Letnikov fractional deriva-

tives

In this section, we give some properties of the Grünwald-Letnikov fractional derivatives

with the proof.

1 Linearity:
GL α
a Dt (λf (t) + µg(t)) = λGL α GL α
a Dt f (t) + µa Dt g(t)

Proof.
n
!
α
GL α
+ µg(t)) = lim h−α (−1)r
X
a Dt (λf (t) (λf (t − rh) + µg(t − rh))
h→0
nh=t−a r=0 r
n n
! !
−α α α
r
λf (t − rh) + lim h−α (−1)r
X X
= lim h (−1) µg(t − rh)
h→0
nh=t−a r=0 r h→0
nh=t−a r=0 r
n n
! !
−α r α −α α
(−1)r
X X
= λ lim h (−1) f (t − rh) + µ lim h g(t − rh)
h→0
nh=t−a r=0 r h→0
nh=t−a r=0 r

= λGL α GL α
a Dt f (t) + µa Dt g(t)

2 Composition(or Semi group)[6]:

GL α GL β α+β
If α, β > 0, a Dt a Dt f (t) = GL
a Dt f (t) is valid for any bounded function f (t).

Proof.
  
n n
! !
GL α GL β α β
=  lim h−α (−1)r f (t − rh)  lim h−β (−1)r
X X
a Dt a Dt f (t − rh)
h→0
nh=t−a r=0 r h→0
nh=t−a r=0 r
n
! !
−α −β
X
r α β
= lim h h (−1) f (t − rh)
h→0
nh=t−a r=0 r r
α+β
=GL
a Dt f (t)

3 Laplace transformation:
Let the lower terminal a = 0 and 0 ≤ α < 1, then

f (0)t−α 1 Zt
GL α
a Dt f (t) = + 1−α (t − τ )−α f 0 (τ )dτ,
Γ(1 − α) Γs 0

11
3 Properties of Grünwald-Letnikov fractional derivatives

where f (t) is bounded near t = 0, then

f (0)
L {GL α
a Dt f (t); s} = (sF (s) − f (0)) = sα . (12)
s1−α

Proof.
n
t−α+r t−α+r (m+1)
( ) ( )
L {GL α (r)
;s + L
X
a Dt f (t); s} = f (0)L f (t); s
r=0 Γ(−α + m + 1) Γ(−α)
n n
!
(r) α−r−1 α−m−1 m+1 (r) m−r
X X
= f (0)s +s s F (s) − f (0)s
r=0 r=0

= sα F (s)

4 Fourier transform: Let us consider the lower terminal a = −∞. Fourier transforma-
tion of an integer-order derivative F eh(t) ∗ g(t); ω = He(ω)Ge(ω) gives the following
formula for the exponential Fourier transform of the Grünwald-Letnikov fractional
derivative.

F eGL α
a Dt g(t); ω = (−ßω)
α−n
F eg (n) (t); ω
= (−ßω)α−n (−ßω)n G(ω)
= (−ßω)α G(ω) (13)

where the symbol Dα denotes the fractional differentiation Grünwald-Letnikov GL α

−∞ Dt g(t).
Fourier transformation is used for analyzing the oscillation equation with a fractional-
order damping term:

y 00 (t) + aGL α
−∞ Dt y(t) + by(t) = f (t)

Lemma 3.1. Grünwald-Letnikov fractional derivative for the function f (t) = tm ,

m = 1, 2, . . . is given by [3]:

GL α Γ(m + 1) m−α
a Dt f (t) =GL α m
a Dt t = t
Γ(m + 1 − α)

Γ(r−α) Γ(α+1)
where Γ(−α)
= (−1)r Γ(α−r+1) .

Proof.
n−1
tm−α X Γ(r − α)
GL α m
a Dt t = lim h− α (t − rh)m
Γ(−α) h→0 r=0 Γ(r + 1)

12
3 Properties of Grünwald-Letnikov fractional derivatives

If we expand (t − rh)m by binomial theorem, we get:

m n−1
tm−α X
!
m X Γ(r − α)
GL α m
a Dt t = (−1)k lim hr−α rk
Γ(−α) k=0 k h→0 k=0 Γ(r + 1)
We simplify the sum over r,

n−1
X Γ(r − α) k
R≡ r
r=0 r+1

To do this most efficiently, it is convenient to recall a few elementary facts from the
Calculus of finite differences. If y is an indeterminate and if j is a positive integer,
then: y, j:
y (j) = y(y − 1)(y − 2)...(y − j + 1)

where y (0) is defined as unity, therefore

k
yk = ‫ג‬kj y (j) ,
X

j=1

where ‫ג‬kj are stirring numbers of the second kind

k
Γ(y + 1)
Γ(y + 1)y (j) Γ(y − j + 1)y k = ‫ג‬kj
X
,
j=1 Γ(y − j + 1)

let y = r and substitute from the equation of R,

k n−1
!
Γ(r − α)
‫ג‬kj
X X
R= ,
j=1 r=0 Γ(r + 1 − j)

sum is vacuous for k < j. If we replace n by n − j and α by α − j, we get

n−1
X Γ(n − α) Γ(n − α)
=
r=0 Γ(r + 1 − j) Γ(n − j)(j − α)
Therefore
k
X Γ(n − α) 1
R= ‫ג‬
j=1 Γ(n − α) j − α
 P
tm−α m
limh→0 hk−α Γ(n−α)
GL α Pm k k 1
a Dt f (t) =GL α m
a Dt t = Γ(−α) k=0 (−1)k k j=1 ‫ג‬j j−α Γ(n−j)
If we write


 1 j = kN
Γ(n − α) Γ(n − α)

Γ(n−α)
 

hk−α = nj−k hk−α Γ(n−j) lim hk−α =
Γ(n − j) h→0 Γ(n − j) 

0 j<k
 

13
4 Application of the GL fractional derivative

Then m
!
GL α m tm − α X m k 1
a Dt t = (−1)k ‫ג‬
Γ(−α) k=0 k kk − α

Now ‫ג‬kk = 1, ∀k, and

m
m 1
(−1)k( k )
X
= B(−α, m + 1)
k=0 k−α

Therefore
GL α m Γ(m + 1) m−α
a Dt t = t .
Γ(m + 1 − α)

4 Application of the GL fractional derivative

In the following examples we give some application of the definition of Grünwald-Letnikov

fractional derivative

Example 4.1. Let f (t) = 5 for t > 0 and α = 12 , then find the fractional derivative for
the given function.
Solution. To find the fractional derivative with respect to Grünwald-Letnikov fractional
derivative for the given function, we have

1 1 X Γ(r − 1 )
n−1
GL α − 12
a Dt f (t) =GL
a Dt (5) ∼ lim
2
h 2
(5)
h→0 Γ(− 1 ) Γ(r + 1)
2 r=0

Then we get
n−1
X Γ(r − 21 ) n−1
= 1
r=0 Γ(r + 1) − 2 Γ(n)
Thus 1 1
1
GL 2
1 t− 2 − 12 Γ(n − 2 ) t− 2 5 1
a Dt (5) = lim
1 h→0 h (5) = 1 (5) = √
√
Γ(− 2 ) Γ(n) Γ(1 − 2 ) π t
1
Example 4.2. Let f (t) = t2 , α = 2
, then find the fractional derivative for the given
function.
Solution. To find the fractional derivative with respect to Grünwald-Letnikov fractional
derivative for the given function, we have

GL α m Γ(m + 1) m−α
a Dt t = t
Γ(m + 1 − α)

14
4 Application of the GL fractional derivative

Thus
GL 2 2
1 Γ(3) 2− 1 Γ(3) 3 2 3 8 √
= 5 t = 3√ t = √ t t
2 =
a Dt t 1 t
2 2
Γ(3 − 2 ) Γ( 2 ) 4
π 3 π

Where
Γ(n) = (n − 1)!

hence
5 3√
Γ( ) = π
2 4
Lemma 4.3. Let f (t) = ebt , α = 13 . If m = dαe, t0 ∈ R, for any b ∈ C, and t > 0, the
exponential function eb(t−t0 ) has the following fractional integral and derivatives:

Jtα0 b(t−t0 ) = (t − t0 )α E1,1 + αb(t − t0 )

and moreover, for any t ∈ R and Re(b) ≥ 0, it is

GL α bt
a Dt  = bα bt

Proof. To find the fractional derivative with respect to Grünwald-Letnikov fractional deriva-
tive for the given function, we have
∞ k k
b t
bt =
X

k=0 k!

and ∞ r ∞
b br
Jtα0 b(t−t0 ) = Jtα0 (t − t0 )r = (t − t0 )r+α ,
X X

r=0 r! r=0 Γ(r + α + 1)

GL α bt
a Dt 
∞
!
−α
X
r α b(t−rh)
= lim h (−1) 
h→0
r=0 r
!
bt −α
X
r α −rhb
=  lim h ∞(−1) e
h→0
r=0 r

Since Re(b) ≥ 0, |−rhb | ≤ 1, so the binomial series converges.

∞
!
α −rhb
(−1)r = (1 − −hb )α
X

r=0 r

Hence
GL α bt (1 − −hb )α 1 − −hb α
a Dt  = bt lim = bt
lim ( ) = bα bt .
h→0 hα h→0 h

15
4 Application of the GL fractional derivative

1
If b = 2, α = 3
then
1 1
GL α bt
a Dt  =GL 3 2t
a Dt  = 2 
3
2t

Lemma 4.4. Let f (t) = sin(bt), α = 41 . If b ∈ R, t ∈ R then

GL α π
a Dt sin (bt) = bα sin (bt + α)
2

Proof. :To find the fractional derivative with respect to Grünwald-Letnikov fractional
derivative for the given function, we have that

GL α bt
a Dt  = bα bt ,

and
ibt − −ibt
sin(bt) = .
2i
Hence
GL α (i)α bα ibt − (−i)α bα −ibt
a Dt sin (bt) =
2i
And since
±bt = cos (bt) ± i sin (bt)

and
±iαπ
(±i) =  2 ,

we get the required proof;

GL α 1 1π
a Dt sin (3t) = 3 4 sin(3t + )
42

Lemma 4.5. Let f (t) = cos(bt), α = 12 . If b ∈ R, t ∈ R then

GL α πα
a Dt cos(bt) = bα cos(bt + )
2

Proof. :To find the fractional derivative with respect to Grünwald-Letnikov fractional
derivative for the given function, we have that

GL α bt
a Dt  = bα bt

16
5 An implicit finite difference method for fractional Diffusion equation

and
ibt + −ibt
cos(bt) =
2
Hence
GL α (i)α bα ibt + (i)α bα −ibt
a Dt cos(bt) =
2
and since
±bt = cos(bt) ± i sin(bt)

and
iπα
(±i) = ± 2

we get the proof;

GL 2
1 1 π
a Dt cos(2t) = 2 2 cos(2t + )
4

5 An implicit finite difference method for fractional

Diffusion equation

In this section we derive the approximation for the fractional diffusion equation of the
form[7]:-
2
∂ α ∂
u(x, t) = Sα GL
a Dt u(x, t), t ≥ 0 (14)
∂t ∂x2
GL α
where u(x, t) is the probability density function, 0 Dt is the fractional derivative defined
through the Grünwald-Letnikov operator and Sα is a diffusion coefficient.

The fractional derivative of order α of a function f (t) in the Grünwald-Letnikov form is :-

dne
GL α
= lim h−α ωr(α) f (t − rh), t ≥ 0
X
0 Dt f (t) (15)
h→0
r=0
 
α
where dne is the integer part of n and ωr(α) = (−1) r
.
The Grünwald-Letnikov fractional derivative is important for our purpose, because it allows
GL α
us to estimate 0 Dt f (t) numerically in a simple and efficient way.

dne
GL α
= h−α ωr(α) f (t − rh) + O(hp )
X
0 Dt f (t) (16)
r=0

This formula is not unique, because there are many different valid choices for ωr(α) that lead
to approximation of different order p. Let ω(z, γ) be generating function of the coefficients

17
5 An implicit finite difference method for fractional Diffusion equation

ωr( γ) which defined as

∞
ωr(γ) z r .
X
ω(z, γ) =
r=0

If the generating function is ω(z, γ) = (1 − z)γ , then we get the backward difference
formulaof order p = 1 (BDF1).
This also called the backward Euler formula of order 1, or simply the Grünwald-Letnikov
 
γ
formula. This coefficients ωr(γ) = (−1)r r
can be evaluated recursively:

γ + 1 (γ)
ωr(γ) = (1 − )ωr−1 , r = 1, 2, . . . .
r
(γ)
where ω0 = 1. The generating function for the backward difference formula of order p:

p = 1(BDF 1) : ω(z, γ) = (1 − z)γ

3 1
p = 2(BDF 2) : ω(z, γ) = ( − 2z + z 2 )γ
2 2
11 7
p = 3(BDF 3) : ω(z, γ) = ( − 3z + z 2 )γ
6 6
25 4 1
p = 4(BDF 4) : ω(z, γ) = ( − 4z + 3z 2 − z 3 + z 4 )γ
12 3 4
137 10 5 1
p = 5(BDF 5) : ω(z, γ) = ( − 5z + 5z 2 − z 3 + z 4 − z 5 )γ
60 3 4 5
147 15 2 20 3 15 4 6 5 1 6 γ
p = 6(BDF 6) : ω(z, γ) = ( − 6z + z − z + z − z + z ) .
60 2 3 4 3 6

This coefficients can be easily calculated using Fourier transforms.

Fractional forward time centered space (FTCS) method

∂u
We use the forward Euler difference formula for the time derivatives ∂t
to build an implicit
method that we will call it FTCS. We use the customary notation tm = m∆t, xj = j∆x,
(m) (m) (m)
and u(xj , tm ) = uj ≈ Uj , where Uj stands for the numerical estimate for the exact
value of u(x, t) at the point (xj , tm ). In the usual FTCS method the diffusion equation is
(m)
replaced h = ∆t with a difference system for the quantities uj .

Definition 5.1. Truncation error [8]

Errors that result from the use of an approximation in place of an exact mathematical pro-
cedure. e.g numerical integration, or the approximation derivatives with finite-difference
approximations.

Definition 5.2. First order approximation with respect to time ( ∂u

∂t
)[9]
As we mentioned before u(x, t) is the probability density function in the diffusion equation.
(m) (m−1)
uj −uj
If we differentiate it with respect to t, we get ∆t
.

18
6 Chemotaxis model by finite difference method

2
Definition 5.3. Second order approximation with respect to x ( ∂∂xu2 )[9]
(m) (m) (m)
uj+1 −2uj +uj−1
If we differentiate u(x, t) two times with respect to x, we get ∆x2
.

2
∂u α∂ u
= Sα GL
0 D t
∂t ∂x2
By definitions of Truncation error, First order approximation with respect to time and
Second order approximation with respect to x we get:-

(m) (m−1) (m) (m) (m)

uj − uj uj+1 − 2uj + uj−1
= Sα GL α
0 Dt ( ) + T (x, t) (17)
∆t ∆x2

where T (x, t) is the truncation term.

(m) (m) (m)

(m) (m−1) GL α uj+1 − 2uj + uj−1
uj = uj + ∆tSα 0 Dt ( ) + ∆tT (x, t) (18)
∆x2
(m) (m) (m) (m) (m−1)
uj − ∆tSα GL α
0 Dt (uj+1 − 2uj + uj−1 ) = uj + ∆tT (x, t) (19)

Inserting the Grünwald-Letnikov definition of the fractional derivative and neglecting the
truncation term, with rearranging the terms, and finally we get the implicit FTCS differ-
ence scheme:-
m
(m) (m) (m−r) (m−r) (m−1)
ωr(α) [Uj+1 − 2Uj
X
Uj − Kα + Uj−1 ] = Uj (20)
r=0

Let we suppose that r = 0, we get the result:

m
(m) (m) (m) (m) (m−1)
ωr(α) [Uj+1 − 2Uj
X
Uj − Kα + Uj−1 ] = Uj (21)
r=0

Sα ∆t
where Kα = hα (∆x2 )
.

6 Chemotaxis model by finite difference method

The space fractional Chemotaxis system is obtained from the classical advection-diffusion
equations of the Chemotaxis system by replacing the spatial derivative with a generalized
derivative of fractional order.

19
6 Chemotaxis model by finite difference method

Chemotaxis model

Chemotaxis is an important resource for cellular communication which impacts the chemi-
cal substances in the environment on the movement of mobile species. This can lead strictly
oriented-movement to partially tumbling movement. The movement towards a higher con-
centration of the chemical substance is called positive Chemotaxis, whereas the movement
towards a lower concentration is called negative Chemotaxis. The standard Chemotaxis
model system was described by [10][Paltak S., E. Keller, and L. Segel respectively in 1953
and 1970]. It represented by the set of partial differential equations.

ut − ∇(m∇u) + ∇(ξ∇v) = 0 (x, t) ∈ Rd × R+

δvt − ∇v + rv + ρu = 0 (x, t) ∈ Rd × R+ (22)

where u(x, t) denotes the density of bacteria in the position x ∈ Rd at time t, v is the
concentration of chemical signal substance, δ ≥ 0 representes the relaxation time, the
parameter ξ is the sensitivity of cells to the Chemoattractant and m, τ and ρ are given
smooth functions.
In this section we considered the following space fractional Chemotaxis system (SFCS).

∂ ∂v
ut − GL Dα u + (u ) = f (x, t, α), (x, t) ∈ (a, b) × (0, T ], (23)
∂x ∂x

which includes the diffusion of cells and Chemotactic drift.

∂ 2v
− + τ v = 0, x ∈ (a, b) (24)
∂x2

which expresses the production of attractant.

Substituting Equation (24) in Equation (23) yields:-

∂u ∂v
ut − GL Dα u + τ uv + = f (x, t, α), (x, t) ∈ (a, b) × (0, T ] (25)
∂x ∂x

where
∂ ∂v ∂ 2 v ∂u ∂v
(u ) = u + (26)
∂x ∂x ∂x ∂x ∂x
u(a, t) = u(b, t) = 0 ∀t ∈ (0, T ] (27)

v(a) = γ, v(b) = β (28)

u(x, 0) = u0 (x) ∀x ∈ [a, b] (29)

where u(x, t) is the density in the position x ∈ [a, b] at time t, v is the chemical density, the
function f regulates the cell death which controls the gross cell number and the positive

20
6 Chemotaxis model by finite difference method

constant τ the rate of attractant depletion, the positive constants γ and β are given and
u0 is a smooth given function.

Definition 6.1. Shifted Grünwald formula on [a, b] [5]:

x−a
[ h +p]
∂ α f (x, t)
!
−α α
(−1)(r)
X
α
≈ h f (x − (r − p)h, t)
∂x r=0 r
[ x−a
h
+p]
−α
ωrα f (x − (r − p)h, t)
X
=h (30)
r=0
x−a
[ h +p]
∂ α f (x, t)
!
−α α
(−1)(r)
X
α
≈ h f (x + (r − p)h, t)
∂(−x) r=0 r
[ x−a
h
+p]
−α
ωrα f (x + (r − p)h, t)
X
=h (31)
r=0

α+1
where p is the shifted value, and ω0α = 1, ω1α = −α, ωrα = (1 − r
α
)ωr−1 , r = 2, 3, · · ·

In order to approximate Grünwald-Letnikov fractional derivative, we use the standard

Grünwald formula (p = 0) for α ∈ (0, 1).

i
GL
Dα u(xi , t) ≈ h−α ωrα u(xi−r , t) f orα ∈ (0, 1)
X
(32)
r=0

For the adjective term, using second order central differences we can approximate the
derivative for u.

∂ ∂ u(xi+1 , t) − u(xi−1 , t) ∂v(xi )

u(xi , t) v(xi ) + τ u(xi , t)v(xi ) = ( ) + τ u(xi , t)v(xi ) (33)
∂x ∂x 2h ∂x

We now define a temporal partition tn = nk for n = 0, 1, · · · , where k is the time step, and
approximate the temporal derivative in the Equation (33) by standard first order backward
difference.
Defining uni ≈ u(xi , tn ) as the numerical solution, fin = f (xi , tn , α) and vi = v(xi ). Then
∀α ∈ (0, 1), we obtain the fully implicit scheme for Equation (33).

un+1
i − uni v0 −α
i
= − i (un+1 n+1 n+1
ωrα un+1 n+1
X
− u ) − τ v u
i i + h i−r + fi
k 2h i+1 i−1
r=0
N
gir un+1 + frn+1 f orα ∈ (0, 1)
X
= r (34)
r=0

21
6 Chemotaxis model by finite difference method

where vi0 denotes the derivative of v at the node xi for i = 1, · · · , N − 1 and for α ∈ (0, 1).





h−α ωi−r
α
r <i−1






vi0

+ h−α ω1α r =i−1





 2h






gir =  −τ vi + h−α ω0α r=i (35)
 




v0

− 2hi




 r =i+1








0 r >i+1



Denoting the numerical solution vector U n = (un1 , un2 , · · · , unN −1 ), therefore the scheme of
the Equation (23) was written in the matrix form as follows:-

(I + kA)U n+1 = U n + kF n+1 (36)

Remark 6.2. As the shifted Grünwald formula on [a, b] is convergent of order 2 in space,
it is well known that the spatial derivative approximation of the function by second order
central differences is again order 2 in space and the temporal derivation approximation of
the function by the standard first order backward difference is order 1 in time. Then it
is easy to conclude that the numerical scheme [equation (29)] is convergent of order 2 in
space and order 1 in time.

Solution methods

We discretize the Equation (23), since the Equation (24) with boundary conditions v(a) = γ
and v(b) = β is easy to solve in one-dimentional case and its solution is given by the
following equation:
√ √
v(x) = A τx
+ B− τx
∈ C ∞ ([a, b]), (37)
∂ v 2 ∂2v √
As − ∂x2 + τv = 0 → ∂x2
− τ v = 0 → (D2 − τ )v = 0 → λ2 − τ = 0 → λ = ± τ and
√ √
τb − τa
v(a) = γ = A + B → √
τa
γ − B
A= √ (38)
e τa
√ √ √ √ √ √
γ−B τa γ τ b −B− τ (a−b)
− τb
→β= √
e √τa ∗ τb
+ B = √
 τa
+ B− τb
√ √ √
β τa
= γ τb
− B− τ (a−b)
+ B τ (a−b)

22
6 Chemotaxis model by finite difference method

√ √ √ √
β τa
− γ τb
= B( τ (a−b)
− − τ (a−b)
)
√ √
τa
− γ τ b
β
B = √τ (a−b) √ (39)
 − − τ (a−b)
√ √
β = A τb
+ B− τb
→ √
τb
β − A
B= √ (40)
− τ b
Substituting Equation (40) in v(a), we get
√ √ √
β τ a −A− τ (b−a)
τa
γ = A + √
− τ b
√ √ √ √
γ− τb
= A τ (a−b)
+ β− τa
− A− τ (b−a)
√ √ √ √
− τb − τa τ (a−b) − τ (b−a)
γ − β = A( + )
√ √
− β− τ a
γ− τb
A = √τ (a−b) √ (41)
 + − τ (b−a)
Hence √ √
γ−
− β− τ a τb
A = √τ (a−b) √ (42)
 + − τ (b−a)
√ √
τa
− γ τ b
β
B = √τ (a−b) √ (43)
 − − τ (a−b)
Where γ = v(a), β = v(b).

Example 6.3. Suppose the domain as [0 50], the spatial step h = 0.25, temporal step
k = 0.005, and τ = 0.01.

∂ ∂v
ut − GL Dα u + (u ) = f (x, t, α), (x, t) ∈ (0 50) × (0 1) (44)
∂x ∂x

∂ 2v ∂ 2v
− + τ v = 0, → = τ v x ∈ (0 50) (45)
∂x2 ∂x2
With initial and boundary conditions:

u(a, t) = u(b, t) = 0 ∀t ∈ [0 1] (46)

v(a) = 0.3, v(b) = 0.2 (47)

u(x, 0) = x(50 − x) ∀x ∈ [0 50] (48)

Deriving Equation (44) by substituting Equation (45), we get:

∂u ∂v
ut − GL Dα u(xi , t) + τ uv + = f (x, t, α), (x, t) ∈ (0 50) × (0 1) (49)
∂x ∂x

23
6 Chemotaxis model by finite difference method

If the exact solution (u, v) is given by:

u(x, t) = x(50 − x)−t

√ √
v = A τx
+ B− τx
(50)

We can write Equation (44) as following:

Γ(2) Γ(3) √ √
−x(50 − x)−t − 50 x1−α −t + x2−α −t + τ [(x(50 − x)−t )(A τ x + B− τ x )]
Γ(2 − α) Γ(3 − α)
√ √ √
+[(50 − 2x)−t ][( τ (A τ x + B− τ x )]
= f (x, t.α), (x, t) ∈ (0 50) × (0 1)
(51)

Where u(x, t) = x(50 − x)−t , hence ut = (−1)(x(50 − x)−t ).

GL
Dα u(xi , t)
=GL Dα (x(50 − x)−t )
= −tGL Dα (50x − x2 )
= −t [GL Dα (50x) − GL Dα (x2 )]
Γ(2) Γ(3)
= −t [50 x1−α − x2−α ]
Γ(2 − α) Γ(3 − α)
1−α 2−α
x x
= [50 −2 ]−t
Γ(2 − α) Γ(3 − α)

∂u
∂x
= (50 − 2x)−t
∂v √ √ √
∂x
= τ (A τ x + B τ x )
Here f (x, t, α) = −t [f1 (x, α) − f2 (x, α)]
such that

√ √ √ √ √
f1 (x, α) = τ (50 − 2x)(A τ x − B τ x ) + τ x(50 − x)(A τ x + B τ x ) (52)

and
x1−α x2−α
f2 (x, α) = x(50 − x) + 50 −2 (53)
Γ(2 − α) Γ(3 − α)
Where the constants A and B are given in Equations (42) and (43).

24
7 Conclusion

7 Conclusion

The Grünwald–Letnikov method for solving fractional differential equations has been in-
troduced. During working on our project, we concluded that the Grünwald–Letnikov
fractional derivative formula is equivalent to the Riemann-Liouville formula. In order to
be more familiar about the Grünwald–Letnikov fractional derivative, we stated and proved
its main properties.

We further derived its applications in different functions, and despite its application in
chemistry by the method of Chemotaxis model. In addition we discussed the numerical
approximation with implicit scheme. Gladly our title is wonderful to work with and is an
interesting science.

25
References

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[3] MILLER, Kenneth S., y ROSS, Bertram. An Introduction to the Fractional Calculus
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[4] PODLUBNY, Igor. Fractional Calculus Apllied Analysis, Vol. 5, 2002.

[5] H. Hejazi, T. Moroney, F. Liu, Stabillity and convergence of a finite volume method
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applications of fractional differential equations. Elsevier B.V. 2006.

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26