Looking into the distribution of a Fabius random variable:
X:=∞∑k=12−kuk
where uk are i.i.d. uniform variables on a unit interval, I encountered the following expression for its probability density:
fX(x)=1π∫∞0(∞∏k=1sinc(t2k+1))cos(t(x−12))dt
It seems, numerically, that f(12)=2, but my several attempts to prove this were not successful.
Any ideas how to approach this are much appreciated.
Answer
From Theorem 1 (equation (19) on page 5) of Surprising Sinc Sums and Integrals, we have
1π∫∞0(N∏k=1sinc(t2k+1))dt=2
for all N<∞. I suppose you can justify letting
N→∞ to get your result.
One of the surprises in that paper concerns a similar integral
∫∞0(N∏k=0sinc(t2k+1))dt. This turns out to be equal to π/2 when 0≤N≤6, but is slightly less than π/2 when N=7.
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