Let’s look at one of the most famous definite integrals,
This integral is particularly interesting because it doesn’t yield itself to the standard techniques of integration. What makes it even more interesting are the multitude of ways of evaluating it. Laplace transforms, double integrals and differentiation under the integral sign all work here. I’ll choose to focus on the double integral method; if you wish to learn more about evaluating it using differentiation under the integral sign, you should watch this video, from a friend of mine who does a phenomenal job at explaining it.
Mathematics is not an exact science, like some people tend to think. Especially when talking about integrals. I like to view them as an art, where one needs ample creativity to be proficient in it. And because of this, sometimes there appears to be no logic going from one step to another. This the case here.
To start, first notice that
This is what I’m talking about. There is no formula that will lead you to use this fact. Instead, the first person who used this technique was creative enough to come up with this and use it in the evaluation of the integral.
Let’s make a substitution in our original integrand:
We now have a double integral to evaluate. And while you may think this only further complicated the task, it actually helped us. We can now change the order of integration*, a classic move in the evaluation of double integrals.
The inner integral can be solved easily by integration by parts, but I prefer a different approach. Note that
Focusing on the inner integral, we can equate these:
To be able to evaluate this, we need to find its imaginary part. After using conjugates and doing some simple arithmetic, we arrive at the result:
Remember that this was the inner integral. So we can substitute our new expression back in our original double integral:
Thus,
Since our function is even, the integral over the whole real line gives
And there’s more! After solving an integral like that, you can make a substitution to get a new result. In this case, if we let
This means that
Doubling the interval of integration,
I think that’s so cool!
We can even generalize for other powers of x. Make the substitution
Finally, with this, we can now construct a rather exotic, but beautiful, equality:
*For a rigorous proof that changing the order of integration is possible, see here.