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
5575.
Ehrhardt, Matthias
Ein einfaches Kompartment-Modell zur Beschreibung von Revolutionen am Beispiel des Arabischen Frühlings5574.
Günther, Michael
Einführung in die Finanzmathematik5573.
Al{\i}, G; Bartel, A
Electrical RLC networks and diodes5572.
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 :5875571.
Ehrhardt, Matthias
für Angewandte Analysis und Stochastik5570.
Ehrhardt, Matthias; Günther, Michael; Striebel, Michael
Geometric Numerical Integration Structure-Preserving Algorithms for Lattice QCD Simulations5569.
High order tensor product interpolation in the Combination Technique
preprint, 14 :255568.
Hendricks, Christian; Ehrhardt, Matthias; Günther, Michael
Hybrid finite difference/pseudospectral methods for stochastic volatility models
19th European Conference on Mathematics for Industry, Seite 3885567.
Ehrhardt, Matthias; Csomós, Petra; Faragó, István; others
Invited Papers5566.
Günther, Michael
Lab Exercises for Numerical Analysis and Simulation I: ODEs5565.
Ehrhardt, Matthias; Günther, Michael
Mathematical Modelling of Dengue Fever Epidemics5564.
Ehrhardt, Matthias
Mathematical Modelling of Monkeypox Epidemics5563.
Ehrhardt, Matthias; Günther, Michael
Mathematical Study of Grossman's model of investment in health capital5562.
Bartel, PD Dr A
Mathematische Modellierung in Anwendungen5561.
Model Order Reduction Techniques for Basket Option Pricing5560.
Ehrhardt, Matthias; Günther, Michael
Modelling Stochastic Correlations in Finance5559.
Ehrhardt, Matthias; Günther, Michael; Jacob, Birgit; Maten, Jan
Modelling, Analysis and Simulation with Port-Hamiltonian Systems5558.
Maten, E Jan W; Ehrhardt, Matthias
MS40: Computational methods for finance and energy markets
19th European Conference on Mathematics for Industry, Seite 3775557.
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 MACHINE5556.
Günther, Michael; Wandelt, Dipl Math Mich{\`e}le
Numerical Analysis and Simulation I: ODEs5555.
Ehrhardt, Matthias; Günther, Michael
Numerical Evaluation of Complex Logarithms in the Cox-Ingersoll-Ross Model5554.
Ehrhardt, Matthias; Günther, Michael
Numerical Pricing of Game (Israeli) Options5553.
Ehrhardt, Matthias; Farkas, Bálint; Günther, Michael; Jacob, Birgit
Operator Splitting and Multirate Schemes5552.
Vázquez, C
PDE modeling and numerical methods for swing option pricing in electricity markets
19th European Conference on Mathematics for Industry, Seite 3905551.
Ehrhardt, Matthias
Positive Schemes for Air Pollution Problems, Optimal Location of Industrial Enterprises and Optimization of their Emissions