I`m having a cluster with Rocks 5.2 distribution and I want to solve differential equations and I`m interested to know if are some programs already developed to do this.
A simple Google search would have yielded results like this:
man calculus (n) - Integration and ordinary differential equations - Linux Manual - Digipedia
Why don't you try to solve on a single computer first?
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For cluster software try this site:
The standard tools at universities include Maple, Matlab, and Mathematica. These all cost money and are usually licensed per CPU or per computer. A free version of Matlab, called Octave, exists on Linux; but to my knowledge, you can't exploit any kind of parallelism.
GNU-Octave would indeed be the toolset of choice. You could also look into GSL - GNU Scientific Library - GNU Project - Free Software Foundation (FSF) and perhaps in combination with LAM/MPI Parallel Computing or Open MPI: Open Source High Performance Computing you may be able to use cluster computing.