New efficient methods of computing the prolate spheroidal wave functions and their corresponding eigenvalues
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The authors consider the eigenvalue problem \[ \int_{-1}^{1}e^{i c xy}f(y)dy=\mu f(x), \quad x\in \mathbb R, \tag{1} \] where \(c\) is given positive number. This problem is connected with the prolate spheroidal wave functions. Three methods for the solving of problem (1) are described. The first method uses a discretization by the normalized Legendre polynomials. The two other methods are based on the use of the different moments of the Legendre polynomials and the finite Fourier transform of these later. In the last section some numerical examples are given.
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