Two fast finite difference methods for a class of variable-coefficient fractional diffusion equations with time delay

This paper introduces the fast Crank–Nicolson (CN) and compact difference schemes for solving the one- and two-dimensional fractional diffusion equations with time delay. The CN method is employed for temporal discretization, while the fractional centered difference (FCD) formula discretizes the Riesz space derivative. Additionally, a novel fourth-order scheme is developed using compact difference operators to improve accuracy. The convergence and stability of these schemes are rigorously proven. The discretized systems combining Toeplitz-like structures can be effectively solved by Krylov subspace solvers with suitable preconditioners. Each time level of these methods requires a computational complexity of $O(plogp)$ per iteration and a memory of $O\left(p\right)$, where $p$ represents the total number of grid points in space. Numerical examples are given to illustrate both the theoretical results and the computational efficiency of the fast algorithm.