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, ...
1,430
questions
0
votes
1
answer
242
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Integral with inequality
Let $p(u,x):=(4 \pi u)^{-1/2}e^{-\frac{x^2}{4u}},u>0,x \in \mathbb{R}.$
Let $\mathcal{E}:=\{\phi \in C_c^\infty (\mathbb{R}),\operatorname{supp}(\phi) \subset B(0,1),\|\phi\|_\infty \leq 1\}.$
...
0
votes
2
answers
136
views
Perhaps an application of Hardy's inequality
Let $f \in H_{0}^{1}(0,1)$ and $\lambda >0$ big enough. Consider $0 <\alpha < 1$ and some $k > 0$. I would like to show the following inequality
$$
\int_{\lambda^{-k}}^{1}|f(x)|^{2}dx \leq ...
3
votes
0
answers
140
views
Monotonicity of a function defined by an integral
The question below is motivated by the related question Integral of a function changing sign and the associated answer:
Can we study the monotonicity of the following function on $(0,1)$?
$$\small f(x)...
0
votes
0
answers
85
views
Closed formula for iterated Fourier series
I'm trying to obtain a closed formula for the following integral.
\begin{align}
I_n = {} & \int_0^h \Bigr[\sum_{r_1=1}^\infty a_{1,r} \cos\left(\frac{2\pi}{h} r_1t_1\right) \\[6pt]
& {}+ b_{1,...
0
votes
0
answers
72
views
How to perform this integral to get a closed/ semi closed form
I want to get a closed/ semi-closed form of the integral given below.
$$ \int_{-\infty}^{+\infty} \exp{\left(-\frac{(x - \mu)^2}{2\sigma^2}\right)} \text{erf}\left(\alpha \frac{x-\mu}{\sqrt{2}\sigma}\...
2
votes
0
answers
126
views
Multiple Wiener integral as Witt polynomial of Brownian motion
I know that if i have a Brownian motion $W_t$ the multiple Wiener integral
$\int_0^t \int_0^{\xi_1}...\int_0^{\xi_n} dW_{\xi_1}...dW_{\xi_n}$
can be expressed as $H_n(\int_0^t dW_s)$ where $H_n$ is ...
-2
votes
1
answer
168
views
Simple closed form for $\int \lfloor x \rfloor dx$? [closed]
Wolfram Alpha claims there is no closed form in terms of standard funcions
for $\int \lfloor x \rfloor dx$ but we believe we found
simple closed form agreeing with experimental data.
Define $i_1(x)=x -...
2
votes
0
answers
184
views
Power series of the modified Bessel function of the second kind
I am looking for a power series representation of
$$ \frac{1}{K_{\nu}(x)}, $$
where $K_{\nu}$ denotes the modified Bessel function of the second kind and $\nu>-1/2$ is not an integer.
I know that ...
0
votes
0
answers
198
views
Distribution of "occupation times" of Brownian Motion
Let $B_t(\omega)$ be a standard Brownian motion and let $A\in\mathcal{B}(\mathbb R)$ be a Borel set.
I would like to find the distribution of $$Y_A(\omega):=\lambda(\{t\in[0,1]:B_t(\omega)\in A\})=\...
7
votes
1
answer
201
views
Average of polynomials over the real sphere
In quantum information, much can be done with the averaging formula
$$
\int_{\mathbb{C}P^{n-1}} (zz^*)^{\otimes t} dz = {n + t -1 \choose t}^{-1} \operatorname{\Pi}_{\mathrm{Sym}^t}$$
Here the ...
3
votes
1
answer
311
views
Integral of a function changing sign
By some numerical tests, we can see that the following function is negative on $(0,1)$:
$$\small f(x)=\int_0^\infty\frac{s^{x-1} e^{-2 s} (\pi \cos(\pi x) (s^{2 x}+(0.1)^2)-\sin(\pi x) \ln(s) (s^{2 x}-...
3
votes
4
answers
524
views
Some Log integrals related to Gamma value
Two years ago I evaluated some integrals related to $\Gamma(1/4)$.
First example:
$$(1)\hspace{.2cm}\int_{0}^{1}\frac{\sqrt{x}\log{(1+\sqrt{1+x})}}{\sqrt{1-x^2}} dx=\pi-\frac{\sqrt {2}\pi^{5/2}+4\sqrt{...
0
votes
0
answers
69
views
Fourier transform of an exponential function with radical argument divided by a radical
I have $f(t)=\dfrac{e^{-i\sqrt{(t-t_0)^2+A^2}}}{\sqrt{(t-t_0)^2+A^2}}$ where $t_0$ and $A$ are constant. I need to take the Fourier transform of $f(t)$. I made few substitutions to take it to a form ...
28
votes
4
answers
2k
views
If $X$ and $Y$ independent and identically distributed, then $E(|X-Y|)\leq E(|X+Y|)$. Are other proofs of this known?
I know a proof of the theorem that if $X$ and $Y$ independent and identically distributed, then $E(|X-Y|)\leq E(|X+Y|)$. The proof uses an integral representation of the absolute value,
$$\int_0^\...
5
votes
2
answers
1k
views
Integral of a product between two normal distributions and a monomial
The integral of the product of two normal distribution densities can be exactly solved, as shown here for example.
I'm interested in compute the following integral (for a generic $n \in \mathbb{N}$):
$...
3
votes
1
answer
128
views
Convolution between normal distribution and the maximum over $m$ Gaussian draws
$\DeclareMathOperator\erf{erf}$
Let's consider the Gaussian distribution $P_X(x)= \frac{1}{\sqrt{2 \pi \sigma^2}} e^{- \frac{x^2}{2 \sigma^2}}$. Now consider the random variable $W \equiv \max \{ X_1, ...
2
votes
1
answer
244
views
Proof of covariant convolution for a kernel function that is rotation symmetric in Fourier space
Problem Statement
Let $g:\mathbb R^{d}\to \mathbb R,d\in\{2,3\}$ be an integrable function (assumption I1). Suppose $\mathcal T$ is a rotation, and $f:\mathbb R^d\to\mathbb C$ (assumption C) is an ...
3
votes
0
answers
151
views
What is the meaning of big-O of a random variable?
I encountered this problem in a book "Pattern Recognition and Machine Learning" by Christopher M. Bishop. I excerpt it below:
screenshot of the book
In the excerpt, the big-O notation $O(\xi^...
12
votes
2
answers
1k
views
Counterexamples to differentiation under integral sign, revisited
Let $f\colon\mathbb R^2\to\mathbb R$ be a measurable function such that
\begin{equation*}
F(t):=\int_{\mathbb R}dx\,f(t,x)
\end{equation*}
exists and is finite for all real $t$. Suppose that
\...
1
vote
1
answer
187
views
Probability of multivariant gaussian random variables in different areas
$\newcommand{\sgn}{\operatorname{sgn}}$Let $X_i$ is a gaussian random variable correlated with others. we want to find the probability of each possible case to find the expectation of following ...
9
votes
2
answers
573
views
Integral inequality: Prove $\int_0^1 f\int_0^1 1/f \leq 1$ for a certain function $f$
Let $g$ be a piecewise smooth, zero average, function over $[0,1]$ such that $\min g^2>0$. I would like to show that
$$
\int_0^1 g\sqrt{1-r/g^2}\int_0^1 \frac{1}{g\sqrt{1-r/g^2}} \leq 1
$$
for all $...
0
votes
1
answer
708
views
The derivation of Reynolds-averaged Navier-Stokes equations
The following procedure is used to derive the Reynolds-averaged Navier-Stokes equations (Wikipedia: RANS equations)
When we talk about turbulent flows we can represent the velocity of the fluid as:
$$
...
0
votes
1
answer
191
views
Calculation of solid angle for rectangle in 6DOF [closed]
I am an undergrad trying to understand and use solid angle calculations:
I have a point source in R3 space (x_source, y_source, z_source) and a rectangle with given center (x_center, y_center, ...
1
vote
1
answer
82
views
Representing an $L^2$-functional by a non-$L^2$-function on a dense subspace - Part II
This is a follow-up to this previous question, but under stronger assumptions.
Let $(X, \mu)$ be a (say, $\sigma$-finite) measure space, let $g \in L^2$ (say, over the real
scalar field). Let $\tilde ...
7
votes
2
answers
379
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Representing an $L^2$-functional by a non-$L^2$-function on a dense subspace
Let $(X, \mu)$ be your favourite measure space (finite or $\sigma$-finite if you like), let $g \in L^2$ (say, the scalar field of $L^2$ is $\mathbb{R}$, though this probably doesn't matter). Let $\...
4
votes
1
answer
132
views
Decreasing tail integrals for nonnegative random variable $X$
Let $X$ be a nonnegative random variable with density function $f(x)$, distribution function $F(x)$, survival function $S(x)=1-F(x)$ and finite first and second moments. Let also
$$\ell(x):=\frac{1}{...
2
votes
2
answers
196
views
Assigning values to divergent oscillating integrals
I have recently run into a number of divergent oscillating integrals in various contexts. Thus, I have been led to desire general methods for assigning values to divergent oscillating integrals. All ...
2
votes
0
answers
209
views
How to perform this Gaussian matrix integral?
I'm reading this book The supersymmetric method in random matrix theory and applications to QCD. In page 302-303, the author calculate the following integral
$$
Z=\int d\psi \, dH \, P(H)\exp\left(-\...
1
vote
1
answer
206
views
On a property of complex exponentials
Does there exist a simple smooth closed curve $\gamma:S^1\to \mathbb C$ such that
$$ \int_{0}^{2\pi} e^{\gamma(e^{it})} \, |\gamma'(e^{it} )|\,dt =0?$$
2
votes
1
answer
96
views
Power series expansion of the order parameter in the Kuramoto model
In this review of the Kuramoto model, Eq. 14 is obtained by expanding the following integral in powers of $K r$,
$$
r = K r \int_{-\pi/2}^{\pi/2}\cos^2(\theta) g(K r \sin{\theta}) \mathrm{d}\theta
$$
...
0
votes
1
answer
72
views
A solution satisfying an integral inequality is bounded [closed]
Let $y$ be a positive function and $c>0$. If $y$ satisfies the following integral inequality
\begin{equation}
y(t)+\int_{0}^{t}y(s)ds\leq c_{1}\int_{0}^{t} y^{\frac{3}{2}}(s)ds+c_{2}
\end{equation}
...
1
vote
1
answer
175
views
Finding $W^{1,\infty}$ solutions to an integral equation by fixed point
Let $f \in L^\infty((0,1)\times(0,1))$ and consider the integral equation
\begin{align*}
u(x, y)= \int_0^y \int_0^{x-y} u(x-y+\tau, s+\tau) f(s+\tau, \tau) d s d \tau -\int_0^y f(x-y+s, s) d s.
\end{...
2
votes
0
answers
82
views
A closed expression for definite integral of a rational function
Suppose $F(x) = P(x)/Q(x)$ is an integrable rational function on $\mathbb R$, that is, $\deg Q \geq \deg P + 2$, and $Q$ has no real roots.
Does there exist an expression for the definite integral $...
16
votes
1
answer
2k
views
Equivalence between Lebesgue integrable and Riemann integrable functions
As the title says, for every Lebesgue integrable function $f:\mathbb{R}\to\mathbb{R}$ is there a Riemann integrable function $g:\mathbb{R}\to\mathbb{R}$ such that $f=g$ almost everywhere?
For example, ...
5
votes
0
answers
194
views
If $\lim_{t\to +\infty} \int_{0}^{\pi} f(x)\exp(e^{xt}) \, dx=0$ then $f=0$ a.e?
Question, Let $f \in L^1(\alpha, \beta)$ , $\beta>0$ and
$$
F(x)= \int_{\alpha}^{\beta} f(t)\exp(e^{xt}) \, dt
$$ such that $\displaystyle \lim_{x\to +\infty}F(x)=0$. Does this imply that $f$ is ...
1
vote
0
answers
167
views
Integration with respect to Haar measures normalised over a subspace
Coming from physics I have come across the following integral over a haar measure (for $U$ unitary as an example) for something I am trying to determine for my work
$\int_{\mathcal{U}(d)} \frac{\...
0
votes
1
answer
144
views
Inhomogeneous Markov chains and the product-integral as a solution to the Kolmogorov forward equation
We have a inhomogeneous continous $K$-State Markov chain $X(t)$ with transition intensity matrix $Q(t)$. Therefore its entries are:
$$q_{ij}(t)= \lim_{\delta \to 0} \frac{1}{\delta} \mathbb{P}(X(t+\...
2
votes
0
answers
93
views
Computing $\int_0^{2\pi}\frac{e^{ikt}}{|e^{it}-e^{it_0}|^m}~\text{d}t$, where $k\in\mathbb{Z}$, $t_0\in\mathbb{C}$, and $m=1,3,5,\dots$
I am working on a project on accurate numerical quadrature where I need to compute the following integral in order to find my quadrature weights,
$$
\int_{0}^{2\pi}\frac{{\rm e}^{{\rm i}kt}}{\,\left\...
2
votes
1
answer
298
views
Bounded operator on $L^2(\Bbb R^2)$
Let $\lambda\in \{z\in\Bbb C\mid \text{Re}(z)>0\quad \text{and}\quad \text{Im}(z)>0 \}$. Consider the operator $T_\lambda: L^2(\Bbb C)\to L^2(\Bbb C)$:
$$
f\mapsto T_\lambda(f)(z)=\int_{\Bbb C}f(...
0
votes
0
answers
126
views
Bounded sums involving primes
I'm trying to generalize the Theorem 2.7.1 in [1] where they prove:
$$\sum_{p \leq x} f(p) = \int_{2}^{x} \frac{f(t)}{\log{t}} dt + \epsilon(x)f(x) - \int_{2}^{x} \epsilon(t) f^{'}(t) dt $$
where $\...
2
votes
1
answer
275
views
Volume of submanifold as integral of delta-function
Let $M$ be an $n-m$ dimensional sub-manifold of $\mathbf R^n$ defined by the following set of equations:
\begin{equation}
f_1(\vec x)=0, \\
\vdots \\
f_m(\vec x)=0,
\end{equation}
(where $\vec x$ are ...
0
votes
0
answers
120
views
How to prove an equality involving Laguerre polynomials
Assume $\mu<0$. Let $L^\alpha_n(x)$ be Laguerre polynomials of type $n$ and $f\in L^2(\Bbb C)$.
How to prove that $$\sum^\infty_{k=0}\int_{\Bbb C} f(z)\frac{1}{2(2k+1)-\mu}L^0_k(\lvert z\rvert^2)...
4
votes
1
answer
164
views
Estimate an improper integral
Suppose that $f$ satisfies $a$-Hölder condition on $[0,1]$ ($0<a<1$). Fix $0<b<a$. For any $x\in [0,1]$ and sufficiently small $\delta>0$, is the following inequality established?
$$ \...
8
votes
1
answer
2k
views
How badly can the Lebesgue differentiation theorem fail?
Suppose $f:\mathbb{R}^n\to\mathbb{R}$ is integrable. Is it true that
$$
\lim_{r\to 0}\frac{\displaystyle\int_{B_r(0)}f(y)~\mathrm dy}{r^{n-1}}=0 \quad ?
$$
This is obvious if $0$ is a Lebesgue point ...
1
vote
1
answer
195
views
Integration by parts for indicator of a sphere to indicator of a ball
Broadly speaking, I have a radial distribution on $\mathbb R^n$, i.e., the pdf only depends on the $\ell_2$-norm of the argument. I would like to obtain an expression for the pdf in the form $\int_{w=...
3
votes
0
answers
146
views
Is there a general relationship between definite integrals over functions involving the complete elliptic integral of the first kind and zeta values?
Background
Let $\textbf{K}(k)$ be the complete elliptic integral of the first kind, where $k$ is its elliptic modulus [1]. Moreover, define $k' := \sqrt{1-k^{2}} $ as its complementary modulus. I've ...
6
votes
3
answers
1k
views
Integral of product of gaussian CDF and PDF
Looking for an analytic solution to the integral below:
$$
\int_{-\infty}^\infty \Phi\left(\frac{x - a}{\tau}\right) \phi\left(\frac{x - b}{\sigma}\right)dx
$$
where $\Phi(\cdot)$ and $\phi(\cdot)$ ...
3
votes
0
answers
44
views
Evaluate $\int_\phi e^{tr(RM)} dR$ where $\phi$ is a set of all real orthonormal matrices of a certain size
I am trying to evaluate $\int_\phi e^{tr(RM)} dR$ where $\phi$ is a set of all real orthogonal matrices of a certain size. $M$ is an arbitrary real matrix (of a certain size).
This is equivalent to
$$\...
8
votes
1
answer
321
views
Malmsten-like integrals for $\zeta(n) $
Context
Let us define a Malmsten integral when it is of the form $$M_{P,Q} := \int_{0}^{1} \frac{P(x)}{Q(x)} \ln \ln \left( \frac{1}{x} \right) dx. \tag{1} $$ In a paper by Blagouchine [1], the author ...
1
vote
2
answers
161
views
Asymptotic estimation of an integral
I have an integral of the form
$$
I = \int\limits^{1}_{0} \exp\left(\dfrac{vt}{(v+1)^2 + v^2} - vt\right) dv
$$
and I want to prove that $I\leq c t^{-1}$ for the sufficiently large $t$, where $c$ is a ...