2000 character limit reached
On the rate of convergence of the Gaver-Stehfest algorithm (2005.05813v1)
Published 12 May 2020 in math.NA and cs.NA
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.