A third-order numerical method for solving fractional ordinary differential equations

In this paper, we developed a novel numerical method for solving general nonlinear fractional ordinary differential equations (FODEs). First, we transformed the nonlinear FODEs into the equivalent Volterra integral equations. We then developed a time-stepping algorithm for the numerical solution of the Volterra integral equations based on the third-order Taylor expansion for approximating the integrands in the Volterra integral equations on a chosen mesh with the mesh parameter $h$. This approximation led to implicit nonlinear algebraic equations in the unknowns at each given mesh point, and an iterative algorithm based on Newton's method was developed to solve the resulting implicit equations. A convergence analysis of this numerical scheme showed that the error between the exact solution and numerical solution at each mesh point is $\mathcal{O}(h^3)$, independent of the fractional order. Finally, four numerical examples were solved to verify the theoretical results and demonstrate the effectiveness of the proposed method.