Band 23, Heft 2 - Contains Special Issue Articles on Recent Advances in Boundary Element Methods, Guest Editors: Ulrich Langer and Olaf Steinbach

In this work, the Fourier-cosine series (COS) method has been combined with the Boundary Element Method (BEM) for a fast evaluation of barrier option prices. After a description of its use in the Black and Scholes (BS) model, the focus of the paper is on the application of the proposed methodology to the barrier option evaluation in the Heston model, where its contribution is fundamental to improve computational efficiency and to make BEM appealing among finance practitioners as a valid alternative to Monte Carlo (MC) or other more traditional approaches. An error analysis is provided on the number of terms used in the Fourier-cosine series expansion, where the error bound estimation is based on the characteristic function of the log-asset price process. A Matlab code implementing this technique is attached at the end of the paper.

The present article is concerned with solving Bernoulli’s exterior free boundary problem in the case of an interior boundary that is random. We provide a new regularity result on the map that sends a parametrization of the inner boundary to a parametrization of the outer boundary. Moreover, assuming that the interior boundary is convex, also the exterior boundary is convex, which enables to identify the boundaries with support functions and to determine their expectations. We in particular construct a confidence region for the outer boundary based on Aumann’s expectation and provide a numerical method to compute it.

In this paper, we present a numerical method based on the coupling between a Curved Virtual Element Method (CVEM) and a Boundary Element Method (BEM) for the simulation of wave fields scattered by obstacles immersed in homogeneous infinite media. In particular, we consider the 2D time-domain damped wave equation, endowed with a Dirichlet condition on the boundary (sound-soft scattering). To reduce the infinite domain to a finite computational one, we introduce an artificial boundary on which we impose a Boundary Integral Non-Reflecting Boundary Condition (BI-NRBC). We apply a CVEM combined with the Crank–Nicolson time integrator in the interior domain, and we discretize the BI-NRBC by a convolution quadrature formula in time and a collocation method in space. We present some numerical results to test the performance of the proposed approach and to highlight its effectiveness, especially when obstacles with complex geometries are considered.

We consider the non-symmetric coupling of finite and boundary elements to solve second-order nonlinear partial differential equations defined in unbounded domains. We present a novel condition that ensures that the associated semi-linear form induces a strongly monotone operator, keeping track of the dependence on the linear combination of the interior domain equation with the boundary integral one. We show that an optimal ellipticity condition, relating the nonlinear operator to the contraction constant of the shifted double-layer integral operator, is guaranteed by choosing a particular linear combination. These results generalize those obtained by Of and Steinbach [Is the one-equation coupling of finite and boundary element methods always stable?, ZAMM Z. Angew. Math. Mech. 93 (2013), 6–7, 476–484] and [On the ellipticity of coupled finite element and one-equation boundary element methods for boundary value problems, Numer. Math. 127 (2014), 3, 567–593], and by Steinbach [A note on the stable one-equation coupling of finite and boundary elements, SIAM J. Numer. Anal. 49 (2011), 4, 1521–1531], where the simple sum of the two coupling equations has been considered. Numerical examples confirm the theoretical results on the sharpness of the presented estimates.

This article discusses the well-posedness and error analysis of the coupling of finite and boundary elements for interface problems in nonlinear elasticity. It concerns 𝑝-Laplacian-type Hencky materials with an unbounded stress-strain relation, as they arise in the modelling of ice sheets, non-Newtonian fluids or porous media. We propose a functional analytic framework for the numerical analysis and obtain a priori and a posteriori error estimates for Galerkin approximations to the resulting boundary/domain variational inequality.

Magnetic fields generated by normal or superconducting electromagnets are used to guide and focus particle beams in storage rings, synchrotron light sources, mass spectrometers, and beamlines for radiotherapy. The accurate determination of the magnetic field by measurement is critical for the prediction of the particle beam trajectory and hence the design of the accelerator complex. In this context, state-of-the-art numerical field computation makes use of boundary-element methods (BEM) to express the magnetic field. This enables the accurate computation of higher-order partial derivatives and local expansions of magnetic potentials used in efficient numerical codes for particle tracking. In this paper, we present an approach to infer the boundary data of an indirect BEM formulation from magnetic field measurements by ensemble Kálmán filtering. In this way, measurement uncertainties can be propagated to the boundary data, magnetic field and potentials, and to the beam related quantities derived from particle tracking. We provide results obtained from real measurement data of a curved dipole magnet using a Hall probe mapper system.

We are concerned with the numerical computation of electrostatic forces/torques in only piece-wise homogeneous materials using the boundary element method (BEM). Conventional force formulas based on the Maxwell stress tensor yield functionals that fail to be continuous on natural trace spaces. Thus their use in conjunction with BEM incurs slow convergence and low accuracy. We employ the remedy discovered in [P. Panchal and R. Hiptmair, Electrostatic force computation with boundary element methods, SMAI J. Comput. Math. 8 (2022), 49–74]. Motivated by the virtual work principle which is interpreted using techniques of shape calculus, and using the adjoint method from shape optimization, we derive stable interface-based force functionals suitable for use with BEM. This is done in the framework of single-trace direct boundary integral equations for second-order transmission problems. Numerical tests confirm the fast asymptotic convergence and superior accuracy of the new formulas for the computation of total forces and torques.

We present a new time-adaptive FMM for a space-time boundary element method for the heat equation. The method extends the existing parabolic FMM by adding new operations that allow for an efficient treatment of tensor product meshes which are adaptive in time. We analyze the efficiency of the new operations and the approximation quality of the related kernel expansions and present numerical experiments that reveal the benefits of the new method.

We present quadrature schemes to calculate matrices where the so-called modified Hilbert transformation is involved. These matrices occur as temporal parts of Galerkin finite element discretizations of parabolic or hyperbolic problems when the modified Hilbert transformation is used for the variational setting. This work provides the calculation of these matrices to machine precision for arbitrary polynomial degrees and non-uniform meshes. The proposed quadrature schemes are based on weakly singular integral representations of the modified Hilbert transformation. First, these weakly singular integral representations of the modified Hilbert transformation are proven. Second, using these integral representations, we derive quadrature schemes, which treat the occurring singularities appropriately. Thus, exponential convergence with respect to the number of quadrature nodes for the proposed quadrature schemes is achieved. Numerical results, where this exponential convergence is observed, conclude this work.

In this paper, the sixth-order compact finite difference schemes for solving two-dimensional (2D) and three-dimensional (3D) Helmholtz equations are proposed. Firstly, the sixth-order compact difference operators for the second-order derivatives are applied to approximate the Laplace operator. Meanwhile, with the original differential equation, the sixth-order compact difference schemes are proposed. However, the truncation errors of the proposed scheme obviously depend on the unknowns, source function and wavenumber. Thus, we correct the truncation error of the sixth-order compact scheme to obtain an improved sixth-order compact scheme that is more accurate. Theoretically, the convergence and stability of the present improved method are proved. Finally, numerical tests verify that the improved schemes are more accurate.

This work deals with the a posteriori error estimates for the Darcy–Forchheimer problem. We first introduce the corresponding variational formulation for the nonlinear problem and discretize it by using the finite-element method. We then propose a linear iterative scheme to solve the nonlinear variational problem for a fixed mesh step. Finally, a posteriori error estimate with two types of computable error indicators is showed. The first one is linked to the linearization and the second one to the discretization. Numerical computations are performed to show the effectiveness of the derived error indicators.

In this paper, we propose a finite difference scheme combined with the Crank–Nicolson-type discretization of the Kuramoto–Sivashinsky equation defined on an expanding circle, and show the existence, uniqueness, and second-order error estimate of the scheme. The equation is obtained as a perturbed graph equation from the circle solution to an interfacial curvature-dependent equation. The graph representation can provide guidelines for understanding the wavenumber selection of solutions to the interfacial equation. Indeed, the linearized stability analysis shows a relation between the parameters and the wavenumbers. Our proposed scheme can realize the relation with second-order accuracy.