Abstract
We develop a finite difference approximation of order
α
for the
α
-fractional derivative. The weights of the approximation scheme have the same rate-matrix type properties as the popular Grünwald scheme. In particular, approximate solutions to fractional diffusion equations preserve positivity. Furthermore, for the approximation of the solution to the skewed fractional heat equation on a bounded domain the new approximation scheme keeps its order
α
whereas the order of the Grünwald scheme reduces to order
α
-
1
, contradicting the convergence rate results by Meerschaert and Tadjeran.