A numerical algorithm for the space and time fractional Fokker-Planck equation

Purpose - The purpose of this paper is to present an algorithm based on operational Tau method (OTM) for solving fractional Fokker-Planck equation (FFPE) with space- and time-fractional derivatives. Fokker-Planck equation with positive integer order is also considered. Design/methodology/approach - The proposed algorithm converts the desired FFPE to a set of algebraic equations using orthogonal polynomials as basis functions. The paper states some concepts, properties and advantages of proposed algorithm and its applications for solving FFPE. Findings - Some illustrative numerical experiments including linear and nonlinear FFPE are given and some comparisons are made between OTM and variational iteration method, Adomian decomposition method and homotpy perturbation method. Originality/value - Results demonstrate some capabilities of the proposed algorithm such as the simplicity, the accuracy and the convergency. Also, this is the first presentation of this algorithm for FFPE.