An improved Talbot method for numerical Laplace transform inversion

The classical Talbot method for the computation of the inverse Laplace transform is improved for the case where the transform is analytic in the complex plane except for the negative real axis. First, by using a truncated Talbot contour rather than the classical contour that goes to infinity in the...

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Bibliographic Details
Published inNumerical algorithms Vol. 68; no. 1; pp. 167 - 183
Main Authors Dingfelder, Benedict, Weideman, J. A. C.
Format Journal Article
LanguageEnglish
Published Boston Springer US 01.01.2015
Springer Nature B.V
Subjects
Algebra
Algorithms
Computer Science
Contours
Convergence
Half planes
Infinity
Inverse
Laplace transforms
Mathematical analysis
Mathematical models
Numeric Computing
Numerical Analysis
Numerical stability
Original Paper
Shape
Theory of Computation
Transforms
65R10
Trapezoidal rule
Midpoint rule
65Z05
Talbot’s method
Inverse Laplace transform
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ISSN1017-1398
1572-9265
DOI10.1007/s11075-014-9895-z

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Summary:The classical Talbot method for the computation of the inverse Laplace transform is improved for the case where the transform is analytic in the complex plane except for the negative real axis. First, by using a truncated Talbot contour rather than the classical contour that goes to infinity in the left half-plane, faster convergence is achieved. Second, a control mechanism for improving numerical stability is introduced.
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ISSN:1017-1398
1572-9265
DOI:10.1007/s11075-014-9895-z