On the convergence of the Gaver-Stehfest algorithm

DOI10.1137/13091974XMaRDI QIDQ5397601zbMATH OpenFDO

Authors Alexey Kuznetsov

Publication date 24 February 2014

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1305.0715

zbMATH Keywords

Dini criterionGaver-Stehfest algorithmgenerating functionsinverse Laplace transformJordan criterionLambert W-function

Mathematics Subject Classification ID

Laplace transform (44A10) Extrapolation to the limit, deferred corrections (65B05) Numerical methods for integral transforms (65R10)

Abstract: The Gaver-Stehfest algorithm for numerical inversion of Laplace transform was developed in the late 1960s. Due to its simplicity and good performance it is becoming increasingly more popular in such diverse areas as Geophysics, Operations Research and Economics, Financial and Actuarial Mathematics, Computational Physics and Chemistry. Despite the large number of applications and numerical studies, this method has never been rigorously investigated. In particular, it is not known whether the Gaver-Stehfest approximations converge and what is the rate of convergence. In this paper we answer the first of these two questions: We prove that the Gaver-Stehfest approximations converge for functions of bounded variation and functions satisfying an analogue of Dini criterion.

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