I found five other related integrals whose proofs I am studying now A, B, C, D, and E
∫2π0ecosθcos(aθ−sinθ)dθ=2πa!
∫2π0exp(cos(θ))cos(θ+sin(θ))=0
∫2π0exp(αcos(θ))cos(sin(θ))=2πI0(√1−α2)
∫2π0exp(xcos(θ)+ysin(θ)))=2πI0(√x2+y2)
∫π20βαexp(−βcos(θ))dθ=12βαπ(J0(β)−L0(β))
I was also able to find a very general statement in Gradshteyn as entry number 3.338.
∫π−πexpa+bsinx+ccosx1+psinx+qcosx1+psinx+qcosxdx=2πe−αI0(β)√1−p2−q2
But the simplest approach of using integration by parts to reduce my problem to one of these does not work.
Background Here's some background into why I am interested in this integral, let v=[x,y]∈R2 and r=[cos(θ),sin(θ)]∈R2, Consider the value of Eθ~Hill[exp(vTr)]
∫0−π(θ+π)exp(xcosθ+ysinθ)dθ+∫π0(π−θ)exp(xcosθ+ysinθ)dθ
Now, there are simplifying unnormalized distributions I could assume in my model, instead of Hill, such as Uniform from 0 to 2π, or exp(cos(θ)) both of these distribution allow analytical calculation of the above expectation just based on the identities written below, but I want to know which distributions I can compute this expectation for (Can I do this for Hill?) I will guess that I can only do it for distributions that have some finite decomposition in terms of spherical harmonics. Unfortunately, my knowledge is lacking in complex analysis and spherical harmonics so I can't quickly assess my options.
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