This paper presents new fifth-order diagonally implicit Runge-Kutta integration formulas for stiff initial value problems, designed to be Lstable method. The stability of the method is analyzed and numerical results are shown to verify the conclusions. Mathematics Subject Classifications: 51N20, 62J05, 70F99

The present paper develops a theory of Natural Continuous Extensions (NCEs) for the discrete approximate solution of an ODE given by a Runge-Kutta process. These NCEs are defined in such a way that the continuous solutions furnished by the one-step collocation methods are included.

In this paper, we consider the parallel solution of nonstii ordinary diierential equations with two diierent classes of Runge-Kutta (RK) methods providing embedded solutions: classical embedded RK methods and iterated RK methods which were constructed especially for parallel execution. For embedded Runge-Kutta methods, mainly the potential system parallelism is exploited. Iterated RK methods pr...

We derive the explicit formula for the joint Laplace transform of the Wishart process and its time integral which extends the original approach of Bru (1991). We compare our methodology with the alternative results given by the variation of constants method, the linearization of the Matrix Riccati ODE’s and the Runge-Kutta algorithm. The new formula turns out to be fast and accurate.

A continuous explicit Runge-Kutta (CERK) method provides a continuous approximation to an initial value problem. Such a method may be obtained by appending additional stages to a discrete method, or alternatively by solving the appropriate order conditions directly. Owren and Zennaro have shown for order 5 that the latter approach yields some CERK methods that require fewer derivative evaluatio...

Article history: Received 8 July 2012 Received in revised form 1 January 2013 Accepted 26 April 2013 Available online 3 May 2013

In this paper three pairs of embedded Runge–Kutta type methods for directly solving special third order ordinary differential equations (ODEs) of the form denoted as RKD methods are presented. The first is the RKD4(3) pair which is third order embedded in fourth-order method has the property first same as last (FSAL) whereby the last row of the coefficient matrix is equal to the vector output. ...

The 4-th order Runge-Kutta method in the complex plane is proposed for numerically advancing the solutions of a system of first order differential equations in one external invariant satisfied by the master integrals related to a Feynman graph. The particular case of the general massive 2-loop sunrise self-mass diagram is analyzed. The method offers a reliable and robust approach to the direct ...

For semidiscrete approximations and one-step fully discretized approximations of the initial-boundary value problem for linear hyperbolic equations with diagonalizable coefficient matrices, we prove that the Kreiss condition is a sufficient condition for the semigroup stability (or l2 stability). Also, we show that the stability of a fully discretized approximation generated by a locally stable...