A method for the numerical inversion of Laplace transforms

Abstract

In this paper a numerical inversion method for Laplace transforms, based on a Fourier series expansion developed by Durbin [5], is presented. The disadvantage of the inversion methods of that type, the encountered dependence of discretization and truncation error on the free parameters, is removed by the simultaneous application of a procedure for the reduction of the discretization error, a method for accelerating the convergence of the Fourier series and a procedure that computes approximately the 'best' choice of the free parameters. Suitable for a given problem, the inversion method allows the adequate application of these procedures. Therefore, in a big range of applications a high accuracy can be achieved with only a few function evaluations of the Laplace transform. The inversion method is implemented as a FORTRAN subroutine. © 1984.