Methods in Mathematica for Solving Ordinary Differential Equations

An overview of the solution methods for ordinary differential equations in the Mathematica function DSolve is presented.Comment: 13 page

The calculation of expectations for classes of diffusion processes by Lie symmetry methods

This paper uses Lie symmetry methods to calculate certain expectations for a large class of It\^{o} diffusions. We show that if the problem has sufficient symmetry, then the problem of computing functionals of the form $E_x(e^{-\lambda X_t-\int_0^tg(X_s) ds})$ can be reduced to evaluating a single integral of known functions. Given a drift $f$ we determine the functions $g$ for which the corresponding functional can be calculated by symmetry. Conversely, given $g$, we can determine precisely those drifts $f$ for which the transition density and the functional may be computed by symmetry. Many examples are presented to illustrate the method.Comment: Published in at http://dx.doi.org/10.1214/08-AAP534 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Difference schemes with point symmetries and their numerical tests

Symmetry preserving difference schemes approximating second and third order ordinary differential equations are presented. They have the same three or four-dimensional symmetry groups as the original differential equations. The new difference schemes are tested as numerical methods. The obtained numerical solutions are shown to be much more accurate than those obtained by standard methods without an increase in cost. For an example involving a solution with a singularity in the integration region the symmetry preserving scheme, contrary to standard ones, provides solutions valid beyond the singular point.Comment: 26 pages 7 figure

Exact Wave Functions for Generalized Harmonic Oscillators

We transform the time-dependent Schroedinger equation for the most general variable quadratic Hamiltonians into a standard autonomous form. As a result, the time-evolution of exact wave functions of generalized harmonic oscillators is determined in terms of solutions of certain Ermakov and Riccati-type systems. In addition, we show that the classical Arnold transformation is naturally connected with Ehrenfest's theorem for generalized harmonic oscillators.Comment: 10 pages, no figure