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Richard Bellman, Robert E.Kalaba and Jo Ann Lockett. Numerical inversion of the Laplace transform : applications to biology, economics, engineering, and physics. Elsevier, 1966. Please see whether these help. H Stehfast, Numerical inversion of Laplace transforms, COMM ACM, 13, 47-49, 1970. D. Crann, A.J. Davies, C.-H. Lai, S.H. Leong. Time domain decomposition for European options in financial modelling. Contemporary Mathematics, 218, 487-491, 1998. C.-H. Lai, A.K. Parrott, S. Rout, and M.E. Honour. A distributed algorithm for European options with nonlinear volatility. Computers and Mathematics with Applications, 49, 885-894, 2005. A.J. Davies, D. Crann, S.J. Kane, C.-H. Lai. A hybrid Laplace transform/finite difference boundary element method for diffusion problems. Computer Modelling in Engineering and Sciences, 18, 79 – 86, 2007. Aleksandar Donev wrote: > Hello, > Does anyone have recommendations for publicly available inverse laplace > transform Fortran routines? The inversion I need is not terribly difficult: > The laplace transform has a long 1/s tail for large s though. I have never > used numerical inversion so any pointers will be helpful. Efficiency or very > high accuracy is not of big concern, ease of use is. > Thanks, > Aleks Choi-Hong -- #===============================================================# # Professor Choi-Hong LAI # # BSc, PhD, CMath, CEng, FIMA, MBCS # # Professor of Numerical Mathematics # # University of Greenwich - Maritime Greenwich Campus # # School of Computing and Mathematical Sciences # # Old Royal Naval College, Greenwich, London SE10 9LS, U.K. # # T: +44 20 8331 8712 (Direct); +44 20 8331 8706 (Secretary) # # F: +44 20 8331 8665 (School); +44 20 8331 8925 (Secretary) # # M: +44 7852796944 # # Email: [log in to unmask] http://www.gre.ac.uk/schools/cms # # http://staffweb.cms.gre.ac.uk/~C.H.Lai/ # #===============================================================# University of Greenwich, a charity and company limited by guarantee, registered in England (reg no. 986729). Registered Office: Old Royal Naval College, Park Row, Greenwich SE10 9LS. This message and any attachment are confidential and may be privileged or otherwise protected from disclosure. If you are not the intended recipient, please notify the sender immediately and delete this message and any attachment from your system. If you are not the intended recipient you must not copy this message or attachment or disclose the contents to any other person.