Sunday, 4 October 2015

integration - Seeking help with an error function Integral



I am trying to compute the following Integral
I=0xexp(2x)erf(xtH42tH23/4)dx


where
erf(z) is the error function given by

erf(z)=2πz0et2dt.



Edit
To provide some context to the problem I have a probability density function, which I am trying to verify that it is well behaved and integrates to 1. I am also interested in computing the expectation and the integral above is the part I am struggling to integrate. In order to reduce the noise, I only posted part of the formula I was struggling with. The below integral should work out to be 1, but I have not been able to establish that, as of yet.
I=0e2x(Ψ(x,t)+23/4ext2H(t4H+2x2)22tHπ)dx=0e2xΨ(x,t)dx+23/4tHπ0ext2H(t4H+2x2)22dx=0e2xΨ(x,t)dx+erfc(tH23/4)


where
Ψ(x,t)=erfc(x0tH42tH23/4),



Formulation 2
limx12(Ξ(x,t)e2xΨ(x,t)+1)=1


where
Ξ(x0,t)=erf(x0tH42+tH23/4),

Any help would be much appreciated.


Answer



If a=1tH42, b=tH23/4, then we need
0xe2x2πaxb0ey2dy=2π(x214)e2xaxb0ey2dy|0+aπ0(x+12)e2xe(axb)2dx=142πb0ey2dy+aπe2ba+1a20(xba+1a2+ba1a2+12)ea2(xba+1a2)2dx=14erf(b)+aπe2ba+1a2ba+1a2(u+ba1a2)ea2u2du=14erf(b)+aπe2ba+1a2{12a2ea2u2|ba+1a2+1a(ba1a2)b+1aev2dv}=14erf(b)+e2ba+1a2{12aπe(b1a)2+12(ba1a2)erfc(b+1a)}


Is that the kind of stuff you're looking for?



EDIT: I should have gone a little farther since ab=12. Then 1a=2b, so we can write this result as
0xe2x2πaxb0ey2dy=14erf(b)+12aπeb2b2erfc(b)


Also by popular demand,
0e2xerfc(axb)dx+erfc(b)=erfc(b)+2π0e2xaxbey2dy=erfc(b)+2π{12e2xaxbey2dy|0a20e2xe(axb)2dx}=erfc(b)+12erfc(b)aπe2ba+1a20ea2(xba+1a2)2dx=erfc(b)+12erfc(b)aπe2ba+1a2ba+1a2ea2u2du=erfc(b)+12erfc(b)1πe2ba+1a2b+1aev2vu=erfc(b)+12erfc(b)12e2ba+1a2erfc(b+1a)=erfc(b)+12erfc(b)12erfc(b)=12erfc(b)+12erfc(b)=1πbey2dy+1πbey2dy=1πbev2dv1πbev2dv=1πbev2dv+1πbev2dv=1πev2dv=1π(2)(12)Γ(12)=1

Verification complete, but I noticed that my error rate was kind of high in the above. Please check and let me know of any further edits required.


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