Double Gaussian definite integral with one variable limit

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I am interested in solving a definite double integral of the following form:



beginalign
f(a,b) &= int_0^infty expBig(frac-x^22aBig)int_x^infty expBig(frac-y^22bBig) dydx\
&= int_0^infty expBig(frac-x^22aBig)texterfcBig(fracxsqrt2bBig)dx,
endalign



for $a,b>0$, where erfc is the complementary error function. One potential way to go would be to use a power-series expansion (e.g., see answer by robjohn to this question or this paper), but I'm finding that a bit difficult to follow. I'm wondering if anybody has any ideas about ways to get an approximate answer. For now, I'm just trying to see if I can fit the numerical solution with a function of $a$ and $b$.







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    up vote
    0
    down vote

    favorite












    I am interested in solving a definite double integral of the following form:



    beginalign
    f(a,b) &= int_0^infty expBig(frac-x^22aBig)int_x^infty expBig(frac-y^22bBig) dydx\
    &= int_0^infty expBig(frac-x^22aBig)texterfcBig(fracxsqrt2bBig)dx,
    endalign



    for $a,b>0$, where erfc is the complementary error function. One potential way to go would be to use a power-series expansion (e.g., see answer by robjohn to this question or this paper), but I'm finding that a bit difficult to follow. I'm wondering if anybody has any ideas about ways to get an approximate answer. For now, I'm just trying to see if I can fit the numerical solution with a function of $a$ and $b$.







    share|cite|improve this question






















      up vote
      0
      down vote

      favorite









      up vote
      0
      down vote

      favorite











      I am interested in solving a definite double integral of the following form:



      beginalign
      f(a,b) &= int_0^infty expBig(frac-x^22aBig)int_x^infty expBig(frac-y^22bBig) dydx\
      &= int_0^infty expBig(frac-x^22aBig)texterfcBig(fracxsqrt2bBig)dx,
      endalign



      for $a,b>0$, where erfc is the complementary error function. One potential way to go would be to use a power-series expansion (e.g., see answer by robjohn to this question or this paper), but I'm finding that a bit difficult to follow. I'm wondering if anybody has any ideas about ways to get an approximate answer. For now, I'm just trying to see if I can fit the numerical solution with a function of $a$ and $b$.







      share|cite|improve this question












      I am interested in solving a definite double integral of the following form:



      beginalign
      f(a,b) &= int_0^infty expBig(frac-x^22aBig)int_x^infty expBig(frac-y^22bBig) dydx\
      &= int_0^infty expBig(frac-x^22aBig)texterfcBig(fracxsqrt2bBig)dx,
      endalign



      for $a,b>0$, where erfc is the complementary error function. One potential way to go would be to use a power-series expansion (e.g., see answer by robjohn to this question or this paper), but I'm finding that a bit difficult to follow. I'm wondering if anybody has any ideas about ways to get an approximate answer. For now, I'm just trying to see if I can fit the numerical solution with a function of $a$ and $b$.









      share|cite|improve this question











      share|cite|improve this question




      share|cite|improve this question










      asked Aug 21 at 14:09









      funtoast

      162




      162




















          2 Answers
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          Assuming $a,b$ to be real and positive
          $$I=int_0^infty e^-fracx^22 a, texterfcleft(fracxsqrt2b right),dx=sqrt2a int_0^infty e^-y^2 texterfcleft(sqrtfrac a b, yright),dy$$ Now, using series
          $$texterfc(z)=1-frac2sqrtpisum_n=0^inftyfrac(-1)^n n!, (2n+1)z^2n+1$$ integrate termwise using the fact that
          $$int_0^infty e^-z^2z^2n+1,dz=fracn!2$$ to get
          $$I=sqrt2aleft(sqrtfrac pi 2-frac 1sqrt pisum_n=0^inftyfrac(-1)^n (2n+1)left(sqrtfrac a bright)^2n+1right)$$
          $$I=sqrt2aleft(sqrtfrac pi 2-frac 1sqrt pitan ^-1left(sqrtfracabright)right)=sqrtfrac2api tan ^-1left(sqrtfracbaright)$$






          share|cite|improve this answer



























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            Consider $(X,Y)$ i.i.d. standard normal, then $$f(a,b)=2pisqrtabP(sqrt bY>sqrt aX>0)$$ The distribution of $(X,Y)$ is rotationally invariant hence, for every $c>0$, $$P(Y>cX>0)=fracpi/2-vartheta2pi$$ where $vartheta$ in $(0,pi/2)$ solves $$tanvartheta=c$$ Thus, $$f(a,b)=sqrtab(pi/2-arctansqrta/b)=sqrtabarctansqrtb/a$$






            share|cite|improve this answer






















            • Thanks! Looks like your result and the one below from @ClaudeLeibovici are equivalent, no?
              – funtoast
              Aug 23 at 12:17










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            2 Answers
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            active

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            2 Answers
            2






            active

            oldest

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            active

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            active

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            up vote
            1
            down vote













            Assuming $a,b$ to be real and positive
            $$I=int_0^infty e^-fracx^22 a, texterfcleft(fracxsqrt2b right),dx=sqrt2a int_0^infty e^-y^2 texterfcleft(sqrtfrac a b, yright),dy$$ Now, using series
            $$texterfc(z)=1-frac2sqrtpisum_n=0^inftyfrac(-1)^n n!, (2n+1)z^2n+1$$ integrate termwise using the fact that
            $$int_0^infty e^-z^2z^2n+1,dz=fracn!2$$ to get
            $$I=sqrt2aleft(sqrtfrac pi 2-frac 1sqrt pisum_n=0^inftyfrac(-1)^n (2n+1)left(sqrtfrac a bright)^2n+1right)$$
            $$I=sqrt2aleft(sqrtfrac pi 2-frac 1sqrt pitan ^-1left(sqrtfracabright)right)=sqrtfrac2api tan ^-1left(sqrtfracbaright)$$






            share|cite|improve this answer
























              up vote
              1
              down vote













              Assuming $a,b$ to be real and positive
              $$I=int_0^infty e^-fracx^22 a, texterfcleft(fracxsqrt2b right),dx=sqrt2a int_0^infty e^-y^2 texterfcleft(sqrtfrac a b, yright),dy$$ Now, using series
              $$texterfc(z)=1-frac2sqrtpisum_n=0^inftyfrac(-1)^n n!, (2n+1)z^2n+1$$ integrate termwise using the fact that
              $$int_0^infty e^-z^2z^2n+1,dz=fracn!2$$ to get
              $$I=sqrt2aleft(sqrtfrac pi 2-frac 1sqrt pisum_n=0^inftyfrac(-1)^n (2n+1)left(sqrtfrac a bright)^2n+1right)$$
              $$I=sqrt2aleft(sqrtfrac pi 2-frac 1sqrt pitan ^-1left(sqrtfracabright)right)=sqrtfrac2api tan ^-1left(sqrtfracbaright)$$






              share|cite|improve this answer






















                up vote
                1
                down vote










                up vote
                1
                down vote









                Assuming $a,b$ to be real and positive
                $$I=int_0^infty e^-fracx^22 a, texterfcleft(fracxsqrt2b right),dx=sqrt2a int_0^infty e^-y^2 texterfcleft(sqrtfrac a b, yright),dy$$ Now, using series
                $$texterfc(z)=1-frac2sqrtpisum_n=0^inftyfrac(-1)^n n!, (2n+1)z^2n+1$$ integrate termwise using the fact that
                $$int_0^infty e^-z^2z^2n+1,dz=fracn!2$$ to get
                $$I=sqrt2aleft(sqrtfrac pi 2-frac 1sqrt pisum_n=0^inftyfrac(-1)^n (2n+1)left(sqrtfrac a bright)^2n+1right)$$
                $$I=sqrt2aleft(sqrtfrac pi 2-frac 1sqrt pitan ^-1left(sqrtfracabright)right)=sqrtfrac2api tan ^-1left(sqrtfracbaright)$$






                share|cite|improve this answer












                Assuming $a,b$ to be real and positive
                $$I=int_0^infty e^-fracx^22 a, texterfcleft(fracxsqrt2b right),dx=sqrt2a int_0^infty e^-y^2 texterfcleft(sqrtfrac a b, yright),dy$$ Now, using series
                $$texterfc(z)=1-frac2sqrtpisum_n=0^inftyfrac(-1)^n n!, (2n+1)z^2n+1$$ integrate termwise using the fact that
                $$int_0^infty e^-z^2z^2n+1,dz=fracn!2$$ to get
                $$I=sqrt2aleft(sqrtfrac pi 2-frac 1sqrt pisum_n=0^inftyfrac(-1)^n (2n+1)left(sqrtfrac a bright)^2n+1right)$$
                $$I=sqrt2aleft(sqrtfrac pi 2-frac 1sqrt pitan ^-1left(sqrtfracabright)right)=sqrtfrac2api tan ^-1left(sqrtfracbaright)$$







                share|cite|improve this answer












                share|cite|improve this answer



                share|cite|improve this answer










                answered Aug 22 at 7:05









                Claude Leibovici

                112k1155127




                112k1155127




















                    up vote
                    0
                    down vote













                    Consider $(X,Y)$ i.i.d. standard normal, then $$f(a,b)=2pisqrtabP(sqrt bY>sqrt aX>0)$$ The distribution of $(X,Y)$ is rotationally invariant hence, for every $c>0$, $$P(Y>cX>0)=fracpi/2-vartheta2pi$$ where $vartheta$ in $(0,pi/2)$ solves $$tanvartheta=c$$ Thus, $$f(a,b)=sqrtab(pi/2-arctansqrta/b)=sqrtabarctansqrtb/a$$






                    share|cite|improve this answer






















                    • Thanks! Looks like your result and the one below from @ClaudeLeibovici are equivalent, no?
                      – funtoast
                      Aug 23 at 12:17














                    up vote
                    0
                    down vote













                    Consider $(X,Y)$ i.i.d. standard normal, then $$f(a,b)=2pisqrtabP(sqrt bY>sqrt aX>0)$$ The distribution of $(X,Y)$ is rotationally invariant hence, for every $c>0$, $$P(Y>cX>0)=fracpi/2-vartheta2pi$$ where $vartheta$ in $(0,pi/2)$ solves $$tanvartheta=c$$ Thus, $$f(a,b)=sqrtab(pi/2-arctansqrta/b)=sqrtabarctansqrtb/a$$






                    share|cite|improve this answer






















                    • Thanks! Looks like your result and the one below from @ClaudeLeibovici are equivalent, no?
                      – funtoast
                      Aug 23 at 12:17












                    up vote
                    0
                    down vote










                    up vote
                    0
                    down vote









                    Consider $(X,Y)$ i.i.d. standard normal, then $$f(a,b)=2pisqrtabP(sqrt bY>sqrt aX>0)$$ The distribution of $(X,Y)$ is rotationally invariant hence, for every $c>0$, $$P(Y>cX>0)=fracpi/2-vartheta2pi$$ where $vartheta$ in $(0,pi/2)$ solves $$tanvartheta=c$$ Thus, $$f(a,b)=sqrtab(pi/2-arctansqrta/b)=sqrtabarctansqrtb/a$$






                    share|cite|improve this answer














                    Consider $(X,Y)$ i.i.d. standard normal, then $$f(a,b)=2pisqrtabP(sqrt bY>sqrt aX>0)$$ The distribution of $(X,Y)$ is rotationally invariant hence, for every $c>0$, $$P(Y>cX>0)=fracpi/2-vartheta2pi$$ where $vartheta$ in $(0,pi/2)$ solves $$tanvartheta=c$$ Thus, $$f(a,b)=sqrtab(pi/2-arctansqrta/b)=sqrtabarctansqrtb/a$$







                    share|cite|improve this answer














                    share|cite|improve this answer



                    share|cite|improve this answer








                    edited Aug 23 at 17:23

























                    answered Aug 21 at 14:36









                    Did

                    243k23208443




                    243k23208443











                    • Thanks! Looks like your result and the one below from @ClaudeLeibovici are equivalent, no?
                      – funtoast
                      Aug 23 at 12:17
















                    • Thanks! Looks like your result and the one below from @ClaudeLeibovici are equivalent, no?
                      – funtoast
                      Aug 23 at 12:17















                    Thanks! Looks like your result and the one below from @ClaudeLeibovici are equivalent, no?
                    – funtoast
                    Aug 23 at 12:17




                    Thanks! Looks like your result and the one below from @ClaudeLeibovici are equivalent, no?
                    – funtoast
                    Aug 23 at 12:17












                     

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