A New Diffusive Representation for Fractional Derivatives, Part II: Convergence Analysis of the Numerical Scheme

Recently, we have proposed a new diffusive representation for fractional derivatives and, based on this representation, suggested an algorithm for their numerical computation. From the construction of the algorithm, it is immediately evident that the method is fast and memory-efficient. Moreover, the method’s design is such that good convergence properties may be expected. In this paper, we commence a systematic investigation of these convergence properties.