On the rate of convergence of the Gaver-Stehfest algorithm

DOI10.1093/IMANUM/DRAB015MaRDI QIDQ6340554arXivFDO

Authors Alexey S. Kuznetsov, Justin Miles

Publication date 12 May 2020

Mathematics Subject Classification ID

Laplace transform (44A10) Numerical methods for integral transforms (65R10)

Abstract: The Gaver-Stehfest algorithm is widely used for numerical inversion of Laplace transform. In this paper we provide the first rigorous study of the rate of convergence of the Gaver-Stehfest algorithm. We prove that Gaver-Stehfest approximations converge exponentially fast if the target function is analytic in a neighbourhood of a point and they converge at a rate $o(n^{-k})$ if the target function is $(2k+3)$-times differentiable at a point.

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