On the Numerical Inversion of the Laplace Transform by the Use of an Optimized Legendre Polynomial

  • Published : 2000.06.30


A method for inverting the Laplace transform is presented, using a finite series of the classical Legendre polynomials. The method recovers a real-valued function f(t) in a finite interval of the positive real axis when f(t) belongs to a certain class ${\mathcal{W}}_{\beta}$ and requires the knowledge of its Laplace transform F(s) only at a finite number of discrete points on the real axis s > 0. The choice of these points will be carefully considered so as to improve the approximation error as well as to minimize the number of steps needed in the evaluations. The method is tested on few examples, with particular emphasis on the estimation of the error bounds involved.