How do I show that
∫∞−∞e−x22σ2(erf(2d−√2x2σ)+erf(2d+√2x2σ))2√2πσdx=erf(d√2σ)?
Mathematica couldn't do it, though I've verified this numerically. The following argument shows that these are equal, but I want to show this analytically, i.e. using direct integration methods.
(Let
P(x,y)=12πσ2exp(−x2+y22σ2),
which is clearly spherically symmetric. I want to integrate this function over the region
R={|x−y|≤d∣(x,y)∈R2}
which is just a diagonal linear strip of width d.
(a) I could evaluate
∫∞−∞∫x+√2dx−√2dP(x,y)dxdy=∫∞−∞e−x22σ2(erf(2d−√2x2σ)+erf(2d+√2x2σ))2√2πσdx
(b) or I could note the spherical symmetry of P(x,y), rotate my region R to the y-axis, and get
∫∞−∞∫d−dP(x,y)dxdy=erf(d√2σ).)
Answer
Direct x-integration is not possible. However, expressing the erf functions by (direct) indefinite integrals does the job, after exchanging integration orders:
Noticeerf(2d±√2x2σ)=∫2e−(√2d±x)22σ2√πσdd
Hence we can write
∫∞−∞e−x22σ2(erf(2d−√2x2σ)+erf(2d+√2x2σ))2√2πσdx=∫dd∫∞−∞e−x22σ2(2e−(√2d+x)22σ2√πσ+2e−(√2d−x)22σ2√πσ)2√2πσdx=2∫e−d2/(2σ2)√2πσdd=erf(d√2σ)
Done. ◻
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