Complex Gaussian quadrature for oscillatory integral transforms

The classical theory of Gaussian quadrature assumes a positive weight function. We will show that in some cases Gaussian rules can be constructed with respect to an oscillatory weight, yielding methods with complex quadrature nodes and positive weights. These rules are well suited to highly oscillatory integrals because they attain optimal asymptotic order. We show that, for the Fourier oscillator, this approach yields the numerical method of steepest descent, a method with optimal asymptotic order that has previously been proposed for this class of integrals. However, the approach readily extends to more general kernels, such as Bessel functions that appear as the kernel of the Hankel transform.