## Integrate $$\int^{\infty}_{0}\frac{e^{-px^{2}} – e^{-qx^{2}}}{x^{2}} \mathrm{d}x$$

This integral appeared in Paul Nahin’s very interesting book Inside Interesting Integrals. Nahin begins with a completely different integral and derives this one. Let us evaluate the integral directly and then redo it with Nahin’s method.

We begin by breaking up the integral and looking at each piece. So we have

\mathrm I = \int\limits^{\infty}_{0} x^{-2}\mathrm{e}^{-px^{2}} \mathrm{d}x.

This looks very similar to a definition of the gamma function:

\Gamma(z) = \int\limits^{\infty}_{0} x^{z-1}\mathrm{e}^{-x} \mathrm{d}x.

We make the substitution $$y = px^{2}$$

\mathrm I = \frac{\sqrt{p}}{2} \int\limits^{\infty}_{0} \mathrm{e}^{-y} y^{-\frac{3}{2}} \mathrm{d}y.

Invoking the gamma function yields

\mathrm I = \frac{\sqrt{p}}{2} \Gamma\Big(-\frac{1}{2}\Big) = -\sqrt{p}\sqrt{\pi}.

Treating the other part of the original integral involving $$q$$ yields our final result

\int\limits^{\infty}_{0}\frac{\mathrm{e}^{-px^{2}} – \mathrm{e}^{-qx^{2}}}{x^{2}} \mathrm{d}x = \sqrt{\pi}(\sqrt{q}-\sqrt{p}).

As I mentioned earlier, Nahin derived this result beginning with an entirely different integral. A casual glance at the original integral should make us suspect that this is the case as it is clear that both parts of the integrand are identical. In other words, why solve the original integral as opposed to the integral that I used at the beginning of the analysis. Such is the case with many of the results in Inside Interesting Integrals. This is the result of working backward, yielding an evaluated integral via some methods as opposed to starting from an integral that one wants to evaluate. I am not criticizing this approach, as it has resulted in an enormous number of useful integral evaluations. Indeed, it can create an unlimited number of evaluated integrals. Also, such “accidental” integrals can result from contour integration even when directly attacking a given integral. Consider that it often happens that upon the last step in evaluating an integral via contour integration, one equates real and imaginary parts in which one is the solution to the original integral while the other is a bonus.

Let us now see how Nahin achieved his result. He begins with

\int\limits_{0}^{\infty} \mathrm{e}^{-x^{2}} \mathrm{d}x

for which Nahin derived the answer of $$\frac{1}{2} \sqrt{\pi}$$ earlier in the book. What is interesting here is that this integral can be done easily with the gamma function by letting $$x^{2} = y$$. This quickly results in

\int\limits_{0}^{\infty} \mathrm{e}^{-x^{2}} \mathrm{d}x = \frac{1}{2} \int\limits_{0}^{\infty} \mathrm{e}^{-y} y^{-1/2} \mathrm{d} y =
\frac{1}{2} \Gamma\Big(\frac{1}{2}\Big) = \frac{1}{2} \sqrt{\pi}.

If someone saw this, then they would immediately recognize that the integral sought can be evaluated via the gamma function as I did above. Nevertheless, let us continue with Nahin’s analysis.

Nahin makes a change of variable, $$x = t\sqrt{a}$$ to introduce the parameter $$a$$, and thus obtains

\int\limits_{0}^{\infty} \mathrm{e}^{-at^{2}} \mathrm{d}t = \frac{1}{2}\frac{\sqrt{\pi}}{\sqrt{a}}

Then he invokes a useful and interesting trick. He integrates the equation with respect to $$a$$, between two arbitrary end points, and changes the order of integration. Changing the order of integration requires some care, as it is only valid if the integral converges uniformly. Here, the integral is just a gamma function, which we know converges uniformly. This is usually the case for “well behaved”, “non-crazy” integrals. So, Nahin has for the left hand side

\int\limits_{p}^{q}\left\{\int\limits_{0}^{\infty} \mathrm{e}^{-at^{2}} \mathrm{d}t\right\}\mathrm{d}a = \int\limits_{0}^{\infty}\left\{\int\limits_{p}^{q}\mathrm{e}^{-at^{2}} \mathrm{d}a\right\} \mathrm{d}t = \int\limits_{0}^{\infty}\frac{\mathrm{e}^{-pt^{2}} – \mathrm{e}^{-qt^{2}}}{t^{2}} \mathrm{d}t.

The right hand side yields

\int\limits_{p}^{q}\frac{1}{2}\frac{\sqrt{\pi}}{\sqrt{a}} \mathrm{d}a = \sqrt{\pi}(\sqrt{q}-\sqrt{p}).

And thus we have our result.