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arXiv · 2606.06093

A tensor-train multidimensional inverse Laplace transform

Martin Mikkelsen·Michael Kastoryano
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Abstract

Laplace transforms and their numerical inverses arise throughout applied mathematics, physics, finance, and probability theory. Numerical inversion, however, quickly becomes intractable in high dimensions because the number of quadrature evaluations grows exponentially with dimension. We develop a tensor train (TT) formulation of the multidimensional inverse Laplace transform. The method constructs a TT approximation of the transformed function on the complex quadrature grid and then performs the inversion through a sequence of tensor contractions. Under suitable low-rank assumptions, this reduces the computational cost from exponential to polynomial in the dimension, provided that the relevant bond dimensions remain bounded. The method has only a small number of tunable parameters and admits error estimations. We demonstrate its performance in numerical experiments, benchmarked against Monte Carlo estimates and exact references, for multivariate normal-inverse Gaussian, Wishart, and correlated Gamma-type distributions.

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Martin Mikkelsen, Michael Kastoryano. 2026-06-04. A tensor-train multidimensional inverse Laplace transform. https://arxiv.org/abs/2606.06093

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