Numerical accuracy of real inversion formulas for the Laplace transform

Authors:
Viktoriya Masol;Jef L. Teugels
Affiliations:
KBC Global Services NV, Havenlaan 2, B-1080 Brussels, Belgium;Department of Mathematics, Catholic University of Leuven, W. de Croylaan 54, B-3001 Leuven, Belgium and EURANDOM, Technical University of Eindhoven, P.O. Box 513, NL-5600 MB Eindhoven, The Netherl ...
Venue:
Journal of Computational and Applied Mathematics
Year:
2010

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Abstract

In this article, we investigate and compare a number of real inversion formulas for the Laplace transform. The focus is on the accuracy and applicability of the formulas for numerical inversion. In this contribution, we study the performance of the formulas for measures concentrated on a positive half-line to continue with measures on an arbitrary half-line. As our trial measure concentrated on a positive half-line, we take the broad Gamma probability distribution family.