Structure preserving Stochastic Impulse Methods for stiff Langevin systems with a uniform global error of order 1 or 1/2 on position
Numerical Analysis
2010-06-25 v1 Computational Physics
Abstract
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).
Keywords
Cite
@article{arxiv.1006.4657,
title = {Structure preserving Stochastic Impulse Methods for stiff Langevin systems with a uniform global error of order 1 or 1/2 on position},
author = {Molei Tao and Houman Owhadi and Jerrold E. Marsden},
journal= {arXiv preprint arXiv:1006.4657},
year = {2010}
}