The borders of the Roman Empire, which fluctuated throughout the empire's history, were a combination of natural frontiers (most notably the Rhine and Danube rivers) and man-made fortifications which separated the lands of the empire from the "barbarian" countries beyond.
A limes was a border fortification system of the Roman Empire. The Latin noun "limes" had a number of different meanings: a path or balk marking off the boundaries of fields; a boundary line or marker; any road or path; any channel, such as a stream channel; or any distinction or difference between two things. Hence it was utilized by Latin writers to denote marked or fortified frontiers. The name given to proper Walls was vallum, which might have represented a border. In Britannia the Empire built two walls one behind the other, for Mauretania there was a single wall with forts on both sides of it. In other places, such as Syria and Arabia Petraea, there wasn't a continuous wall; instead there was a net of border settlements and forts occupied by the Roman army. In Dacia, the limes between the Black Sea and the Danube were a mix of the latter and the wall defenses: the Limes Moesiae was the conjunction of two, and sometimes three, lines of vallum, with a Great Camp and many minor camps spread through the fortifications.
So far the traditional use of the term. It is now more common to accept that this is an anachronistic terminology, reflecting the views of modern scholars more than Roman reality. Limes was in fact not used to indicate the imperial frontier or a fortified border. After the third century it was an administrative term, indicating a military district, commanded by a dux limitis.
In continental Europe, the borders were generally well defined, usually following the courses of major rivers such as the Rhine and the Danube. Nevertheless, those were not always the final border lines; the province of Dacia, modern Romania, was completely on the far side of the Danube, and the province of Germania Magna, which must not be confused with Germania Inferior and Germania Superior, was the land between the Rhine, the Danube and the Elbe (Although this province was lost three years after its creation as a result of the Battle of Teutoburg Forest).