I am trying to compute the following Integral
I=∫∞0xexp(−2x)erf(xtH4√2−tH23/4)dx
where
erf(z) is the error function given by
erf(z)=2√π∫z0e−t2dt.
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=∫∞0e−2x(Ψ(x,t)+23/4ex−t−2H(t4H+2x2)2√2tH√π)dx=∫∞0e−2xΨ(x,t)dx+23/4tH√π∫∞0e−x−t−2H(t4H+2x2)2√2dx=∫∞0e−2xΨ(x,t)dx+erfc(tH23/4)
where
Ψ(x,t)=erfc(x0tH4√2−tH23/4),
Formulation 2
limx→∞12(Ξ(x,t)−e2xΨ(x,t)+1)=1
where
Ξ(x0,t)=erf(x0tH4√2+tH23/4),
Any help would be much appreciated.
Answer
If a=1tH4√2, b=tH23/4, then we need
∫∞0xe−2x⋅2√π∫ax−b0e−y2dy=2√π(−x2−14)e−2x∫ax−b0e−y2dy|∞0+a√π∫∞0(x+12)e−2xe−(ax−b)2dx=142√π∫−b0e−y2dy+a√πe−2ba+1a2∫∞0(x−ba+1a2+ba−1a2+12)e−a2(x−ba+1a2)2dx=14erf(−b)+a√πe−2ba+1a2∫∞−ba+1a2(u+ba−1a2)e−a2u2du=14erf(−b)+a√πe−2ba+1a2{−12a2e−a2u2|∞−ba+1a2+1a(ba−1a2)∫∞−b+1ae−v2dv}=14erf(−b)+e−2ba+1a2{12a√πe−(b−1a)2+12(ba−1a2)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
∫∞0xe−2x⋅2√π∫ax−b0e−y2dy=14erf(−b)+12a√πe−b2−b2erfc(b)
Also by popular demand,
∫∞0e−2xerfc(ax−b)dx+erfc(b)=erfc(b)+2√π∫∞0e−2x∫∞ax−be−y2dy=erfc(b)+2√π{−12e−2x∫∞ax−be−y2dy|∞0−a2∫∞0e−2xe−(ax−b)2dx}=erfc(b)+12erfc(−b)−a√πe−2ba+1a2∫∞0e−a2(x−ba+1a2)2dx=erfc(b)+12erfc(−b)−a√πe−2ba+1a2∫∞−ba+1a2e−a2u2du=erfc(b)+12erfc(−b)−1√πe−2ba+1a2∫∞−b+1ae−v2vu=erfc(b)+12erfc(−b)−12e−2ba+1a2erfc(−b+1a)=erfc(b)+12erfc(−b)−12erfc(b)=12erfc(b)+12erfc(−b)=1√π∫∞be−y2dy+1√π∫∞−be−y2dy=1√π∫∞be−v2dv−1√π∫−∞be−v2dv=1√π∫∞be−v2dv+1√π∫b−∞e−v2dv=1√π∫∞−∞e−v2dv=1√π(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.
No comments:
Post a Comment