Structure preserving Stochastic Impulse Methods for stiff Langevin systems with a uniform global error of order 1 or 1/2 on position

Details Structure preserving Stochastic Impulse Methods for stiff Langevin systems with a uniform global error of order 1 or 1/2 on position Structure preserving Stochastic Impulse Methods for stiff Langevin systems with a uniform global error of order 1 or 1/2 on position

2010-06-23

arxiv.org/abs/1006.4657v1

Mathematics

Numerical Analysis

Scientific paper

Impulse methods are generalized to a family of integrators for Langevin
systems with quadratic stiff potentials and arbitrary soft potentials. Uniform
error bounds (independent from stiff parameters) are obtained on integrated
positions allowing for coarse integration steps. The resulting integrators are
explicit and structure preserving (quasi-symplectic for Langevin systems).

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