Numerical inversion of the Laplace transform via fractional moments (Q1399772): Difference between revisions

A method for the numerical inversion of the Laplace transform on the real line of a heavy-tailed density function is presented. The Laplace transform inversion leads to a generalized finite Hausdorff moment problem \[ F(s_j)= \int^1_0 x^{\alpha_j}\psi(x) dx,\quad j=1,\dots, m \] in a new variable \(x\in [0,1]\). The method assumes as known a finite set of real values of the Laplace transform and chooses the analytical form of the approximant maximizing Shannon entropy, so that positivity of the approximant itself is guaranteed. Some numerical results and results of convergence are given.