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Institute
Laplace transforms which admit a holomorphic extension to some sector strictly containing the right half plane and exhibiting a potential behavior are considered. A spectral order, parallelizable method for their numerical inversion is proposed. The method takes into account the available information about the errors arising in the evaluations. Several numerical illustrations are provided.
The result after $N$ steps of an implicit Runge-Kutta time discretization of an inhomogeneous linear parabolic differential equation is computed, up to accuracy $\varepsilon$, by solving only $$O\Big(\log N\, \log \frac1\varepsilon \Big) $$ linear systems of equations. We derive, analyse, and numerically illustrate this fast algorithm.