# Questions tagged [integration]

Questions related to various forms of integration including the Riemann integral, Lebesgue integral, Riemann–Stieltjes integral, double integrals, line integrals, contour integrals, surface integrals, integrals of differential forms, ...

1,338
questions

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### Volterra Processes (integration wrt Brownian motion): reference request

I need some references about Volterra processes $Y=(Y_t)_{t\geq0}$ defined as
$$ Y_t:=\int_{0}^{t} g(t,s)dB_s, \ \ t\geq 0,$$
where $B=\left(B_t\right)_{t\geq0}$ is a brownian motion and $g$ satisfies
...

5
votes

1
answer

269
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### Consistency of a strong Fubini type theorem for measure zero sets

Is the following statement (†) consistent with ZFC?
If $E \subseteq [0,1]^2$ is such that $E_x := \{y\in[0,1] : (x,y)\in E\}$ has measure zero for almost all $x$, then $E^y := \{x\in[0,1] : (x,y)\in ...

15
votes

1
answer

750
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### Integral inequality: an elementary proof?

I have a very indirect proof of the following property involving a parametrized integral. If $a,a_1,\ldots,a_n\in\mathbb R^n$ (here $n\ge2$), let me denote $V(a,a_1,\ldots,a_n)$ the volume of the ...

0
votes

1
answer

104
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### When integrating by part produces a singularity

I'm currently interesting in the following operator:
$$O[f](x):=f(x)-2xe^{x^2}\int_x^{+\infty}dt \, e^{-t^2} f(t)$$ for all $x\in\mathbb{R}$ and $f$ smooth and decaying at infinity fast enough with ...

3
votes

1
answer

356
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### An exercise on log-concave random variable on the real line

Let $X$ be a real random variable with log-concave density $f$. Assume that $E(X) =0$ and $E(X^2)=1$.
Show that there is a universal (independent of $X$) constant $c>0$ such that:
$$P(X\in[-1/2;0])\...

2
votes

1
answer

136
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### Integral in the Lamb shift calculation – fourth order

I was trying to solve some integrals that appear in quantum electrodynamics but I was not able to do it on my own.
$$1/6\int_0^1 \int_0^1 { u^3 z^2(1-z^2/3) \over [u^2(1-z^2)+4(1-u)]}dudz $$
I know ...

1
vote

0
answers

41
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### Convergence of Farey series integral of a "density" function as the order tends to infinity

Let $F_n$ denote the $n$-th Farey sequence, and let $q$ be a rational number such that $0 \leq q \leq 1$. I am studying the convergence of a specific integral related to Farey series, defined as ...

6
votes

1
answer

385
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### On an asymptotic integral decay

Let $f\in C^{\infty}([-1,0])$ be real-valued and suppose that
$$ \left| \int_{-1}^{0} f(t)\,e^{\lambda t} \,{\rm d} t \right| \leq e^{-\sqrt{\lambda}},$$
for all $\lambda > 0$. Does it follow that $...

1
vote

1
answer

130
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### Analytic expression for $\int_0^\infty \mathrm{d}p\frac{e^{-p \sin (\phi )} \sin (p \cos (\phi ))}{p \left(e^{c p}+1\right)}$

I am looking for ways to do this integration analytically
\begin{equation}
\int_0^\infty \mathrm{d}p\frac{e^{-p \sin (\phi )} \sin (p \cos (\phi ))}{p \left(e^{c p}+1\right)}
\end{equation}
For ...

2
votes

1
answer

67
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### Uniqueness of a solution to an equation

Let $t \in [0,1]$ or $t \in (0,1)$ be distributed according to $F(t)$.
Now consider the following equation:
\begin{equation}
\frac{\int_{\underline{t}}^{\overline{t}}(\gamma-t(2\gamma-1))dF(t)}{\int_{...

0
votes

1
answer

65
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### Double integral of two Gaussians and few complex poles

Recently encountered an integral:
$$ \int_{-\infty}^{\infty} \int_{-\infty}^{\infty} \dfrac{ e^{-i(x_1+x_2)k} \exp\left(-\frac{(x_1-x_0)^2}{2\sigma^2} -\frac{(x_2-x_0)^2}{2\sigma^2}\right) }{(x_1+x_2-\...

7
votes

0
answers

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### Slick proofs using the Henstock–Kurzweil integral?

I enjoyed Iosif Pinelis's slick answer to another MO problem using the Henstock–Kurzweil integral. Are there other examples of problems whose statement does not explicitly involve the Henstock–...

7
votes

1
answer

261
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### If $f(x) = \sum_{n=0}^\infty a_n x^n$, then $\int_{-\infty}^\infty f(x^2) dx = \pi i a_{-\frac{1}{2}}$

I've noticed a curious relationship between the coefficient $a_n$ for a power series and the integral of the real line. For instance, take $f(x) = e^{-x} = \sum_{n=0}^\infty \frac{(-1)^n}{n!} x^n$. ...

2
votes

2
answers

350
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### Asymptotics of an integral requested

Given an integer $n\geq2$, consider the following integral
$$I_n:=\int_0^1nx^{n-1}\sqrt{\left\vert \frac{\log(1-x)}{\log n}\right\vert} \, dx.$$
QUESTION. Is this true? It appears to be so.
$$\lim_{n\...

3
votes

1
answer

114
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### Proof of $\Re\int_0^{\infty}\exp(-ik-k/\sqrt{1-4ik})dk=\Im\int_0^{1/4}\exp(-k+ik/\sqrt{1-4k})dk$

As mentioned in the title, I want to show that
$$
\Re\int_0^{\infty}\exp\left(-ik-\frac{k}{\sqrt{1-4ik}}\right)dk=\Im\int_0^{1/4}\exp\left(-k+\frac{ik}{\sqrt{1-4k}}\right)dk.
$$
I try to proof this ...

0
votes

0
answers

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### Is it express in terms of Schur Q-function?

Consider next integral
\begin{eqnarray}
Z \ = \ h^{- N N_f} \ \int\limits_{SU(N)} \ dU \ \prod_{n=1}^{N} \
\det \left ( 1 + h U \right )^{ N_f} \
\left ( 1 + h U^{\dagger} \right )^{ N_f} \ = \sum_{...

0
votes

1
answer

106
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### How to prove approximation for fresnel integral converges

I was looking at the fresnel integral $S(x)=\int^x_0\sin(s^2)ds$. From reading I learned that this integral approaches $\frac{1}{2} \sqrt{\frac{\pi}{2}}$ as $x \rightarrow \infty$. Through messing ...

4
votes

2
answers

186
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### Generalization of van der Corput's estimate on oscillatory integrals

Question: Given exponents $0<\alpha<\beta$ and an interval
$[a,b]\subset(0,\infty)$ are there constants $C,d>0$ such that for any
$\lambda_1,\lambda_2\in\mathbb{R}$,
$$\left|\int_a^be(\...

1
vote

2
answers

68
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### Lemma about the weighted interpolation inequality

In this article Interpolation inequalities with weights
Chang Shou Lin the following lemma is stated and proved.
Lemma: Suppose $\dfrac{1}{p}+\dfrac{\alpha}{n} > 0$, then there exists a constant $C$...

6
votes

1
answer

211
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### Integration along fibres of continuous map on compact Hausdorff spaces

Let $p:Z\to X$ be a continuous surjective map between compact Hausdorff spaces.
Does there exist a family $m=(m_x)_{x\in X}$ of Radon probability measures on $Z$, such that
the support of $m_x$ is ...

1
vote

1
answer

122
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### The monotonicity of the bivariate normal with non-isotropic covariance

Let $Y = (Y_1, Y_2) \sim N(0, 11^T + I)$, be a bivariate normal random variable with non-isotropic covariance.
Define $y = (y_1, y_2)$ and let
\begin{align}
F_{\delta}(y) = \Pr[Y_1 > y_1 - \delta, ...

2
votes

2
answers

472
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### Integral calculus with Gamma function [closed]

I have to prove that for $0<\alpha<1$ and $\beta>0$,
\begin{equation}
\int_{0}^{\infty} x^{-\alpha-1}\left(e^{-\beta x}-1\right)dx=\beta^\alpha\Gamma(-\alpha),
\end{equation}
and I have ...

0
votes

1
answer

63
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### Sufficient conditions for L1 convergence of exponentials

Suppose $(X,B,m)$ is a finite measure space and $(f_n)$ is a
sequence of functions converging almost surely and in $L^2(X,m)$.
Moreover, I know that for every $n$, $\int e^{f_n(x)} m(dx)<\infty$. ...

-1
votes

1
answer

109
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### Random variable as an integral of an indicator function

This answer says that if $X$ is a random variable and $X_+ = \mathrm{max}(0, X)$, then $X_+ = \int_0^\infty I_{\{X > x\}}\mathrm{d}x$. I'd like to know how to derive this starting with $A \in \...

2
votes

1
answer

84
views

### Injectivity of two sided Laplace transform

Let $\mu,\nu$ be finite Borel measures on $\mathbb R$.
Assume that there is an open interval $(a,b)$ on which the Laplace transforms exist and coincide:
$$
\int_{-\infty}^\infty e^{-tx}\,d\mu(x) = \...

0
votes

1
answer

183
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### Condition for $f^\prime$ to be absolute integrable

Suppose $f(x)$ is the probability density function of a random variable $X$, which means:
$$\int_{a}^{b} f(x) dx = 1$$
Also suppose $f$ is continuous and differentiable.
Provide a non-trivial ...

1
vote

1
answer

286
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### Takesaki lemma: existence Gelfand-Pettis integral

Consider the following fragment from Takesaki's second volume of "Theory of operator algebras" (lemma 2.4, chapter VI "Left Hilbert algebras").
In another post, it was explained ...

1
vote

0
answers

65
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### Integration over a finite-dimensional subspace of Hilbert space

Let $H$ be a separable Hilbert space with inner product $\langle,\rangle$, let $\{e_k\}_{k=1}^\infty$ be an orthonormal basis of $H$, and let $A: H\to H$ be a symmetric, positive definite and ...

1
vote

1
answer

104
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### Integral inequality implies majorization by solution of ODE

Let $f:[0, \infty)\to [0, \infty)$ be non-increasing (and not necessarily differentiable nor continuous) and satisfy $$f(t)\leq f(0)-C\int_{0}^{t}f(s)^{1/2}ds,$$ where $C>0$. How can one show that ...

7
votes

2
answers

371
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### Quantifying difficulty of integrals versus inverses

Recently, I have been discussing inverses with a tenth grade class and integrals with an eleventh/twelfth grade class, and this has led me to the following wonder:
Wonder. Is there a "reasonable&...

3
votes

0
answers

73
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### Question on an integral inequality

I am reading van de Vaart and Weller, Weak Convergence and Empirical Processes With Applications to Statistics. And I am stuck in the proof of Theorem 2.6.7 on page 141.
For simplicity I restae the ...

0
votes

0
answers

121
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### Gauss's theorem under the convolution product

Assume that $\rho$ is a smooth scalar field in $\mathbf R^3$ and that $D$ is a measurable vector field in $\mathbf R^3$, such that, for every bounded domain $\Omega$ with smooth boundary $\partial \...

4
votes

0
answers

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### Integral inequality of Polya

In the book Math Problems AMM (1957), Problem 230, there is the next inequality of D. Polya:
let $a,b>0$, $0\leq x \leq a $,
$f(x)$ --- being not a linear function, and $f(0)=0$, $f(a)=b$, $f(x)\...

1
vote

2
answers

105
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### Integral inequality implies $f(t)\equiv 0$ for all $t\geq T$ for some finite $T>0$?

Let $f:[0, \infty)\to [0, \infty)$ be non-increasing and satisfy for all $t>t_{0}$, $$f(t)+C\int_{t_{0}}^{t}f^{\gamma}(s)ds\leq \frac{1}{t-t_{0}}\int_{t_{0}}^{t}f(s)ds,$$ where $0<\gamma<1$ ...

1
vote

0
answers

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### Continuity in the uniform operator topology of a map

I have a question concerning the continuity for $t>0$ in the uniform operator topology $L(X)$ of the following map: $$t\mapsto A^\alpha R(t)$$ where A is the infinitesimal generator of an analytic ...

0
votes

0
answers

93
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### Calculation of first correction to Selberg type integral

$\DeclareMathOperator\U{U}\DeclareMathOperator\SU{SU}\DeclareMathOperator\Tr{Tr}\DeclareMathOperator\arcsinh{arcsinh}$Let $U \in G$, where $G$ is $\SU(N)$ matrix.
$\Tr U$ will denote the character ...

3
votes

0
answers

333
views

### Does the integral $\int_0^{\infty}e^{cx^2+dx}dx/(a+bx)$ have a closed form?

The integral is
$$
\int_0^{\infty}\frac{e^{-cx^2+dx}}{a+bx}dx.
$$
Here I assume that $a,b,c,d$ are chosen to make this integral convergent. Rewritting the rational function as a integral over ...

5
votes

1
answer

247
views

### Proving an integral identity

Let $ f : \left[ 0, 1 \right] \rightarrow \mathbb{R} $ be a continuous function. Knowing that: $$ \int_0^1 (2x-1)f(x)dx = 0 $$ Show that $ \exists c \in \left(0,1\right)$ such that: $$ \int_0^c (x-c)...

1
vote

0
answers

75
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### On an double integral involving Gaussian term

I want to calculate such an integral
$$
I=\int_0^{\infty}\int_0^\infty dx\,dy\ x^ny^m\exp(-ax^2-by^2-gxy+c_1x+c_2y),
$$
where $a,b,g>0$ are positive and real, $n,m$ are positive integers and $c_1,...

0
votes

1
answer

65
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### $\int_{\mathbb{R}}|p(v-r,x)-p(u-r,x)|\,dx \leq C\frac{v-u}{u-r}$

Consider $p(u,x)=(4\pi u)^{-d/2}e^{-\frac{|x|^2}{4u}},u>0,x\in \mathbb{R}^d.$
Prove that there exists $C>0$ such that for all $0<u\leq v,r\in[0,u[,$ $$\int_{\mathbb{R}^d}|p(v-r,x)-p(u-r,x)|\, ...

2
votes

1
answer

141
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### $\int_0^u\int_{[-1,1]^2}\int_{[-1,1]^2}\frac{1}{r}e^{-\alpha^2|x-y|^2/r} \, dx\,dy\,dr\leq Cu^{\epsilon}\alpha^{-2\beta}$

I am looking for a proof for the following fact: for $U>0,\beta>0,$ there exists $C>0,\epsilon>0$ such that $$\forall u\in [0,U],\alpha\in\left]0,1\right],\int_0^u\int_{[-1,1]^2}\int_{[-1,...

2
votes

2
answers

232
views

### Is it possible to solve this integral?

I can't manage to solve this integral. Does it have an analytical solution?
$$\int\left(\frac{e^{x}(a-1)-1+\frac{1}{a}}{e^{x}(1-b)+1-\frac{1}{a}}\right)e^{-\frac{(x-(\mu-\frac{\sigma^{2}}{2})t)^{2}}{...

6
votes

3
answers

597
views

### How do I solve the following definite integral (preferably by an asymptotic method)?

$$ \int_{1}^{\infty} \frac{\sin^2 (\mu \sqrt{x^2 -1})}{(x+1)^{\frac{9}{2}} (x-1)^{\frac{3}{2}}} \,dx $$
Note: $\mu$ here is an extremely small constant.
I have tried:
Estimating the integral by ...

1
vote

0
answers

83
views

### How to compute the following integral of exponential function over an unit ball

I want to compute the value of the following integral:
$$\int_{r\in\mathbb{R}^d: \|\|r\|\|\le 1} \exp(a^Tr)dr$$.
In particular, $a$ is the coefficient and the norm $\|\|\cdot\|\|$ could be the general ...

1
vote

1
answer

178
views

### Inequality and integral

Let $p(u,x):=(4 \pi u)^{-1/2}e^{-\frac{x^2}{4u}},u>0,x \in \mathbb{R}.$
Let $\mathcal{E}:=\{\phi \in C_c^\infty (\mathbb{R}),\operatorname{supp}(\phi) \subset B(0,1),\|\phi\|_\infty \leq 1\}.$
...

3
votes

0
answers

180
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### Derivation of an integral containing the complete elliptic integral of the first kind

I found the following formula in "INTEGRALS AND SERIES, vol.3" by Prudnikov, Brychkov and Marichev (page 188, eq.5).
$$\int_0^{\infty} \frac{x^{\alpha-1}}{\sqrt{(a+x)^2+z^2}}K(\frac{2\sqrt{...

4
votes

1
answer

193
views

### Does the analytical continuation of $\sum f(n) x^n $ always have a branch cut if $f(z)$ has a pole?

I suspect the answer to the title question is 'no', but I'm hoping to find an explicit counterexample. Also, I am requiring that $\sum f(n) x^n $ has a finite radius of convergence, otherwise, the ...

3
votes

1
answer

221
views

### Integrating $\int_0^\infty \sqrt x e^{-4/3x^{3/2}}\left(\int_0^x \operatorname{Ai}(t)dt\int_0^x \operatorname{Bi}(t)dt\right)dx$

Show that
$$I= \int_0^\infty \sqrt x e^{\large -4/3x^{3/2}}\left(\int_0^x \operatorname{Ai}(t)dt\int_0^x \operatorname{Bi}(t)dt\right)dx$$
$$=\frac{1}{3}-\frac{\sqrt[3]{2\sqrt 3+3}+\sqrt[3]{2\sqrt 3-3}...

0
votes

1
answer

99
views

### Integral and inequality

Let $p(u,x):=(4 \pi u)^{-1/2}e^{-\frac{x^2}{4u}},u>0,x \in \mathbb{R}.$
Let $\mathcal{E}:=\{\phi \in C_c^\infty (\mathbb{R}),\operatorname{supp}(\phi) \subset B(0,1),\|\phi\|_\infty \leq 1\}.$
...

0
votes

1
answer

225
views

### Integral with inequality

Let $p(u,x):=(4 \pi u)^{-1/2}e^{-\frac{x^2}{4u}},u>0,x \in \mathbb{R}.$
Let $\mathcal{E}:=\{\phi \in C_c^\infty (\mathbb{R}),\operatorname{supp}(\phi) \subset B(0,1),\|\phi\|_\infty \leq 1\}.$
...