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



2017

3720.

Hendricks, Christian; Heuer, Christof; Ehrhardt, Matthias; Günther, Michael
High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance
Journal of Computational and Applied Mathematics, 316 :175--194
2017
Herausgeber: North-Holland

3719.

Hendricks, Christian; Heuer, Christof; Ehrhardt, Matthias; Günther, Michael
High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance
Journal of Computational and Applied Mathematics, 316 :175–194
2017
Herausgeber: North-Holland

3718.

Hendricks, Christian; Heuer, Christof; Ehrhardt, Matthias; Günther, Michael
High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance
Journal of Computational and Applied Mathematics, 316 :175–194
2017
Herausgeber: North-Holland

3717.

Hendricks, Christian; Heuer, Christof; Ehrhardt, Matthias; Günther, Michael
High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance
Journal of Computational and Applied Mathematics, 316 :175–194
2017
Herausgeber: North-Holland

3716.

Hendricks, Christian; Ehrhardt, Matthias; Günther, Michael
High-order methods for parabolic equations in multiple space dimensions for option pricing problems
2017

3715.

Hendricks, Christian; Ehrhardt, Matthias; Günther, Michael
High-order methods for parabolic equations in multiple space dimensions for option pricing problems
2017

3714.

Hendricks, Christian; Ehrhardt, Matthias; Günther, Michael
High-order methods for parabolic equations in multiple space dimensions for option pricing problems
2017

3713.

Hendricks, C.; Heuer, C.; Ehrhardt, M.; Günther, M.
High-Order-Compact {ADI} schemes for pricing basket options in the combination technique
In M. Ehrhardt and M. Günther and E. J. W. ter Maten, Editor, Novel Methods in Computational Finance, Seite 399--405
In M. Ehrhardt and M. Günther and E. J. W. ter Maten, Editor
Herausgeber: Springer
2017

3712.

Hendricks, Christian; Heuer, Christof; Ehrhardt, Matthias; Günther, Michael
High-order-compact ADI schemes for pricing basket options in the combination technique
In Ehrhardt, Matthias and Günther, Michael and ter Maten, E. Jan W., Editor
Seite 399–405
Herausgeber: Springer Cham
2017
399–405

3711.

Hendricks, Christian; Heuer, Christof; Ehrhardt, Matthias; Günther, Michael
High-Order-Compact ADI Schemes for Pricing Basket Options in the Combination Technique
Novel Methods in Computational Finance :399--405
2017
Herausgeber: Springer International Publishing

3710.

Hendricks, Christian; Heuer, Christof; Ehrhardt, Matthias; Günther, Michael
High-order-compact ADI schemes for pricing basket options in the combination technique
In Ehrhardt, Matthias and Günther, Michael and ter Maten, E. Jan W., Editor
Seite 399–405
Herausgeber: Springer Cham
2017
399–405

3709.

Hendricks, Christian; Heuer, Christof; Ehrhardt, Matthias; Günther, Michael
High-order-compact ADI schemes for pricing basket options in the combination technique
In Ehrhardt, Matthias and Günther, Michael and ter Maten, E. Jan W., Editor
Seite 399–405
Herausgeber: Springer Cham
2017
399–405

3708.

Biallas, Phillip
Hydrogenolysis of geminal diazides
Tetrahedron Letters, 58 (44) :4209–4211
2017
ISSN: 0040-4039

3707.

Coulon, M.; Ehrhardt, M.; Grossinho, M.; Hout}, K. {In; Oosterlee, C.; Shiryaev, A.; Touzi, N.; (eds), C. Vázquez
ICCF 2017 - Novel Methods in Computational Finance
Special Issue of Applied Mathematical Finance of selected papers from these fields in Computational Finance, presented at ICCF 2017 - 2nd International Conference on Computational Finance, September 4-8, 2017, Lisbon, Portugal
2017

3706.

Lai, C. H.; Grossinho, M.; Ehrhardt, M.; Guerra, M.; Janela, J.; Sevcovic, D.; Vázquez, C.
ICCF 2017 - Novel Methods in Computational Finance
Special Issue of International Journal of Computer Mathematics of selected papers from these fields in Computational Finance, presented at ICCF 2017 - 2nd International Conference on Computational Finance, September 4-8, 2017, Lisbon, Portugal
2017

3705.

Pulch, Roland; Putek, Piotr; De Gersem, Herbert; Gillon, Renaud
Identification of probabilistic input data for a Glue-Die-Package problem
In Quintela, Peregrina and Barral, Patricia and Gómez, Dolores and Pena, Francisco J. and Rodríguez, Jerónimo and Salgado, Pilar and Vázquez-Méndez, Miguel E., Editor, Progress in Industrial Mathematics at ECMI 2016, Seite 255–262
In Quintela, Peregrina and Barral, Patricia and Gómez, Dolores and Pena, Francisco J. and Rodríguez, Jerónimo and Salgado, Pilar and Vázquez-Méndez, Miguel E., Editor
Herausgeber: Springer Cham
2017

3704.

Gallus, Jens; Kirchner, Ulf; Vogt, Rainer; Benter, Thorsten
Impact of driving style and road grade on gaseous exhaust emissions of passenger vehicles measured by a Portable Emission Measurement System (PEMS)
Transportation Research Prat D - Transport and Environment, 52 (A) :215-226
2017

3703.

Gallus, Jens; Kirchner, Ulf; Vogt, Rainer; Benter, Thorsten
Impact of driving style and road grade on gaseous exhaust emissions of passenger vehicles measured by a Portable Emission Measurement System (PEMS)
Transportation Research Prat D - Transport and Environment, 52 (A) :215-226
2017

3702.

Gallus, Jens; Kirchner, Ulf; Vogt, Rainer; Benter, Thorsten
Impact of driving style and road grade on gaseous exhaust emissions of passenger vehicles measured by a Portable Emission Measurement System (PEMS)
Transportation Research Prat D - Transport and Environment, 52 (A) :215-226
2017

3701.

Hahne, J.; Dahmen, D.; Schuecker, J.; Frommer, A.; Bolten, Matthias; Helias, M.; Diesmann, M.
Integration of continuous-time dynamics in a spiking neural network simulator
Front. Neuroinform., 11 :00034
2017

3700.

Hahne, J.; Dahmen, D.; Schuecker, J.; Frommer, A.; Bolten, M.; Helias, M.; Diesmann, M.
Integration of continuous-time dynamics in a spiking neural network simulator
Front. Neuroinform., 11 :00034
2017

3699.

Hahne, J.; Dahmen, D.; Schuecker, J.; Frommer, A.; Bolten, M.; Helias, M.; Diesmann, M.
Integration of continuous-time dynamics in a spiking neural network simulator
Front. Neuroinform., 11 :00034
2017

3698.

Kienitz, Jörg; Caspers, Peter
Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modelling
Band 2
Herausgeber: Palgrave Macmillan UK
2017

3697.

Gabbana, A.; Mendoza, M.; Succi, S.; Tripiccione, R.
Kinetic approach to relativistic dissipation
Physical Review E, 96 :023305
2017
Herausgeber: American Physical Society

3696.

Knechtli, Francesco; Günther, Michael; Peardon, Michael
Lattice Quantum Chromodynamics
Herausgeber: Springer Netherlands
2017