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Register a new userOn the rate of convergence of the Gaver-Stehfest algorithm
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Added by
Alexey Kuznetsov
Publication date
2020
fields
Informatics Engineering
and research's language is
English
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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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