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Aug 16, 2010 at 4:53 comment added gondolier thanks. i think the special case $\alpha^2 = 1/2$ can be deduced from the formula via taking limit.
Aug 15, 2010 at 22:29 comment added J. M. isn't a mathematician Now that I have gotten to look at my copy of G&R, I suppose you should have mentioned that your integral of interest was a specialization of equation 7.374, #5. Note that there is a restriction in there that $\alpha^2\neq\frac1{2}$; the correct formula for $\alpha^2=\frac1{2}$ is given by 7.374, #1, second case. The kicker: after trying out random values of the general integral in Mathematica (keeping also in mind the restriction that the sum of the degrees of the two Hermite polynomials in the integrand should be even); I seem to be unable to reproduce the identity. I better investigateā€¦
Aug 15, 2010 at 13:52 history answered J. M. isn't a mathematician CC BY-SA 2.5