Such physical processes as the diffusion in the environments with fractal geometry and the particles’ subdiffusion lead to the initial value problems for the nonlocal fractional order partial differential equations. These equations are the generalization of the classical integer order differential equations.
An analytical solution for fractional order differential equation with the constant coefficients is obtained in [1] by using Laplace-Fourier transform. However, nowadays many of the practical problems are described by the models with variable coefficients.
In this paper we discuss the numerical vector decomposition model which is based on a shifted version of usual Gr¨unwald finite-difference approximation [2] for the non-local fractional order operators. We prove the unconditional stability of the method for the fractional diffusion equation with Dirichlet boundary conditions. Moreover, a numerical example using a finite difference algorithm for 2D fractional order partial differential equations is also presented and compared with the exact analytical solution.