Show that $\int^{\infty}_{0} x^{-1} \sin x dx = \frac\pi2$ by integrating $z^{-1}e^{iz}$ around a closed contour $\Gamma$ consisting of two portions of the real axis, from -$R$ to -$\epsilon$ and from $\epsilon$ to $R$ (with $R > \epsilon > 0$) and two connecting semi-circular arcs in the upper half-plane, of respective radii $\epsilon$ and $R$. Then let $\epsilon \rightarrow 0$ and $R \rightarrow \infty$.
[Ref: R. Penrose, The Road to Reality: a complete guide to the laws of the universe (Vintage, 2005): Chap. 7, Prob. [7.5] (p. 129)]
Note: Marked as "Not to be taken lightly", (i.e. very hard!)
Update: correction: $z^{-1}e^{iz}$ (Ref: http://www.roadsolutions.ox.ac.uk/corrections.html)
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