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...

The orbital dynamics of an artificial satellite in the Earth’s atmosphere is considered. An analytic first-order atmospheric drag theory is developed using Lagrange’s planetary equations. The short periodic perturbations due to the geopotential of all orbital elements are evaluated. And to construct a second-order analytical theory, the equations of motion become very complicated to be integrat...

We show that the well-known order reduction phenomenon affecting implicit Runge-Kutta methods does not occur when approximating periodic solutions of the Korteweg-de Vries equation.