An implementation of a Fourier series method for the numerical inversion of the Laplace transform

Authors:
Luisa D'Amore;Guiliano Laccetti;Almerico Murli
Affiliations:
Italian National Research Council/ and Univ. of Naples “/Federico II”/, Naples, Italy;Italian National Research Council/ and Univ. of Naples “/Federico II”/, Naples, Italy;Italian National Research Council/ and Univ. of Naples “/Federico II”/, Naples, Italy
Venue:
ACM Transactions on Mathematical Software (TOMS)
Year:
1999

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Abstract

Our method is based on the numerical evaluation of the integral which occurs in the Riemann Inversion formula. The trapezoidal rule approximation to this integral reduces to a Fourier series. We analyze the corresponding discretization error and demonstrate how this expression can be used in the development of an automatic routine, one in which the user needs to specify only the required accuracy.