Double exponential quadrature for fractional diffusion.

We introduce a novel discretization technique for both elliptic and parabolic fractional diffusion problems based on double exponential quadrature formulas and the Riesz-Dunford functional calculus. Compared to related schemes, the new method provides faster convergence with fewer parameters that need to be adjusted to the problem. The scheme takes advantage of any additional smoothness in the problem without requiring a-priori knowledge to tune parameters appropriately. We prove rigorous convergence results for both, the case of finite regularity data as well as for data in certain Gevrey-type classes. We confirm our findings with numerical tests.