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Published February 24, 2016 | Submitted
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Structure preserving Stochastic Impulse Methods for stiff Langevin systems with a uniform global error of order 1 or 1/2 on position


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).

Additional Information

(Submitted on 23 Jun 2010). June 25, 2010. This work is supported by NSF grant CMMI-092600. We thank J. M. Sanz-Serna for useful comments.

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