Haghighi, A.; Hosseini, S.M. - In: Mathematics and Computers in Simulation (MATCOM) 105 (2014) C, pp. 17-48
In this paper the linear asymptotic mean-square stability of class of diagonally drift-implicit Runge–Kutta schemes (DDISRK) for the weak solution of systems of stochastic differential equations (SDEs) is investigated. We provide explicit structure of the stability matrices of this class of...
