Applied and Computational Mathematics (ACM)

Artificial Boundary Conditions

When computing numerically the solution of a partial differential equation in an unbounded domain usually artificial boundaries are introduced to limit the computational domain. Special boundary conditions are derived at this artificial boundaries to approximate the exact whole-space solution. If the solution of the problem on the bounded domain is equal to the whole-space solution (restricted to the computational domain) these boundary conditions are called transparent boundary conditions (TBCs).

We are concerned with TBCs for general Schrödinger-type pseudo-differential equations arising from `parabolic' equation (PE) models which have been widely used for one-way wave propagation problems in various application areas, e.g. (underwater) acoustics, seismology, optics and plasma physics. As a special case the Schrödinger equation of quantum mechanics is included.

Existing discretizations of these TBCs induce numerical reflections at this artificial boundary and also may destroy the stability of the used finite difference method. These problems do not occur when using a so-called discrete TBC which is derived from the fully discretized whole-space problem. This discrete TBC is reflection-free and conserves the stability properties of the whole-space scheme. We point out that the superiority of discrete TBCs over other discretizations of TBCs is not restricted to the presented special types of partial differential equations or to our particular interior discretization scheme.

Another problem is the high numerical effort. Since the discrete TBC includes a convolution with respect to time with a weakly decaying kernel, its numerical evaluation becomes very costly for long-time simulations. As a remedy we construct new approximative TBCs involving exponential sums as an approximation to the convolution kernel. This special approximation enables us to use a fast evaluation of the convolution type boundary condition.

Finally, to illustrate the broad range of applicability of our approach we derived efficient discrete artificial boundary conditions for the Black-Scholes equation of American options.

Software

Our approach was implemented by C.A. Moyer in the QMTools software package for quantum mechanical applications.

Publications



2025

5400.

Asya, Berçin V.; Wang, Sitao; Euchler, Eric; Khiêm, Vu Ngoc; Göstl, Robert
Optical Force Probes for Spatially Resolved Imaging of Polymer Damage and Failure
Aggregate, 6 :e70014
Februar 2025
ISSN: 2692-4560

5399.

Hahmann, Johannes; Schüpp, Boris N.; Ishaqat, Aman; Selvakumar, Arjuna; Göstl, Robert; Gräter, Frauke; Herrmann, Andreas
Sequence-specific, mechanophore-free mechanochemistry of DNA
Chem, 11 :102376
Januar 2025
ISSN: 2451-9294, 2451-9308

5398.

Clevenhaus, A.; Totzeck, C.; Ehrhardt, M.
A Space Mapping approach for the calibration of financial models with the application to the Heston model
2025

5397.

Ehrhardt, Matthias; Günther, Michael; Jacob, Birgit; Maten, Jan
Modelling, Analysis and Simulation with Port-Hamiltonian Systems

5396.

Ehrhardt, Matthias; Günther, Michael; Striebel, Michael
Geometric Numerical Integration Structure-Preserving Algorithms for Lattice QCD Simulations

5395.


High order tensor product interpolation in the Combination Technique
preprint, 14 :25

5394.

Hendricks, Christian; Ehrhardt, Matthias; Günther, Michael
Hybrid finite difference/pseudospectral methods for stochastic volatility models
19th European Conference on Mathematics for Industry, Seite 388

5393.

Ehrhardt, Matthias; Csomós, Petra; Faragó, István; others
Invited Papers

5392.

Ehrhardt, Matthias; Günther, Michael
Mathematical Modelling of Dengue Fever Epidemics

5391.

Ehrhardt, Matthias
Mathematical Modelling of Monkeypox Epidemics

5390.

Ehrhardt, Matthias; Günther, Michael
Mathematical Study of Grossman's model of investment in health capital

5389.

Bartel, PD Dr A
Mathematische Modellierung in Anwendungen

5388.


Model Order Reduction Techniques for Basket Option Pricing

5387.

Ehrhardt, Matthias; Günther, Michael
Modelling Stochastic Correlations in Finance

5386.

Maten, E Jan W; Ehrhardt, Matthias
MS40: Computational methods for finance and energy markets
19th European Conference on Mathematics for Industry, Seite 377

5385.

Gjonaj, Erion; Bahls, Christian Rüdiger; Bandlow, Bastian; Bartel, Andreas; Baumanns, Sascha; Belzen, F; Benderskaya, Galina; Benner, Peter; Beurden, MC; Blaszczyk, Andreas; others
Feldmann, Uwe, 143 Feng, Lihong, 515 De Gersem, Herbert, 341 Gim, Sebasti{\'a}n, 45, 333
MATHEMATICS IN INDUSTRY 14 :587

5384.

Putek, Piotr; PAPLICKI, Piotr; Pulch, Roland; Maten, Jan; Günther, Michael; PA{\L}KA, Ryszard
NONLINEAR MULTIOBJECTIVE TOPOLOGY OPTIMIZATION AND MULTIPHYSICS ANALYSIS OF A PERMANENT-MAGNET EXCITED SYNCHRONOUS MACHINE

5383.

Günther, Michael; Wandelt, Dipl Math Mich{\`e}le
Numerical Analysis and Simulation I: ODEs

5382.

Ehrhardt, Matthias; Günther, Michael
Numerical Evaluation of Complex Logarithms in the Cox-Ingersoll-Ross Model

5381.

Ehrhardt, Matthias; Günther, Michael
Numerical Pricing of Game (Israeli) Options

5380.

Ehrhardt, Matthias; Farkas, Bálint; Günther, Michael; Jacob, Birgit
Operator Splitting and Multirate Schemes

5379.

Vázquez, C
PDE modeling and numerical methods for swing option pricing in electricity markets
19th European Conference on Mathematics for Industry, Seite 390

5378.

Ehrhardt, Matthias
Positive Schemes for Air Pollution Problems, Optimal Location of Industrial Enterprises and Optimization of their Emissions

5377.

Ehrhardt, Matthias; Vázquez, Carlos
Pricing swing options in electricity markets with two stochastic factors: PIDE modeling and numerical solution
3rd International Conference on Computational Finance (ICCF2019), Seite 89

5376.

Putek, PA; Ter Maten, EJW
Reliability-based Low Torque Ripple Design of Permanent Magnet Machine