Definite Integrals Advanced Concepts

Aritra Mondal
Contents
1 Introduction II
1.1 Form of this content . . . . . . . . . . . . . . . . . . . . . . . . . . . . . II
1.2 Who shall be the reader? . . . . . . . . . . . . . . . . . . . . . . . . . . . II
1.3 Notation and other information . . . . . . . . . . . . . . . . . . . . . . . II

2 Some tips and tricks 1

3 Gamma Function 2
3.1 Basic Definition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
3.2 Bohr Mollerup Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
3.3 Euler’s Reflection Formula . . . . . . . . . . . . . . . . . . . . . . . . . . 4
3.4 The sinm x cosn x form . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
3.5 Legendre’s Duplication Formula . . . . . . . . . . . . . . . . . . . . . . . 5
3.6 Summing Up . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
3.7 Some problems and problem types . . . . . . . . . . . . . . . . . . . . . . 6

4 Beta Function 10
4.1 Relation with Γ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
4.2 Trigonometric Form . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
4.3 0 to ∞ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13

5 Gaussian Integral 14
~1 Introduction

Thanks to Spătaru Vlad Titus, Atul Shatavart Nadig and Archit Manas for proofreading this article
and providing me with valuable suggestions.

~1.1 Form of this content

I specifically have said an overview about the gamma function, beta function, and gaussian
integral here. There are many things underlying them, however, in this article, we will know
as much is adequate.
I have tried to discuss things and a few examples with motivation in a lucid manner and let’s
hope it would help the readers to some extent.

~1.2 Who shall be the reader?

Since we are discussing a few advanced techniques, it’s obvious that you should have a sound
knowledge of definite integrals up to their previous parts.

~1.3 Notation and other information

N denotes the set of naturals numbers or {1, 2, 3, . . . }.

II
~2 Some tips and tricks

• Please be fluent with use of trigonometry. This will be of great help while solving
problems here and not having a fluent knowledge of it can sometimes ruin your life.
Eventually, trigonometry has a big influence here, so a casual warning.
• Try not to blindly apply theorems, techniques, and methods which I will state here or
you have read before on everything. Not everything is going to work by those methods
easily, there will always exist the ’good way’. Even please don’t forget to check their
conditions before applying them.
• Although you can always come to a conclusion of a standard formula of your own self, it’s
advised that you remember the standard formulas to use them quickly wherever required
since you always won’t get plenty of time. Moreover, standard formulas might just play
a small role within actual contest problems, so wasting time on concluding the standard
ones might just eat up your time.
• Here are numerous methods to solve problems, and upon doing a large amount of practice
only, you would be understanding gradually where to use what, what to try at first, what
we should not do, and pre-thinking the steps, that’s where our step can lead to.

1
~3 Gamma Function

~3.1 Basic Definition

Gamma Function — The Gamma function is denoted as Γ and defined as

Z ∞
Γ(n) = e−x xn−1 dx
0

Note that n is defined for all complex numbers with the real part of n > 0.

For example,   Z ∞
1 1
Γ = e−x x− 2 dx
2 0
1


There are some interesting things about Γ 2 , which I won’t disclose right away. Now we have
quite many important ideas here. Here is one, which you should try: Γ(1) is 1.

~3.2 Bohr Mollerup Theorem

Bohr Mollerup theorem — The function f : R+ → R+ , with n > 0

f (n) = Γ(n)

is the only function that satisfies

• f (n) = 1

• f (n + 1) = nf (n)

• logarithmically convex

Show that
Γ(n + 1) = nΓ(n)
consequently show that if n ∈ N, then

Γ(n) = (n − 1)!

Above are some important rules concerning Γ(n), hence assume we want to find the value Γ(6),

2
that is just 5! = 120. Let’s try a problem concerning a natural number n,

Example 3.1. Compute the following,

Z ∞
e−x x3 dx
0
.
Solution. Well, if you are learning up to this well enough, then you can observe, plugging
in n = 4, gives the accurate form of Γ(4). Because
Z ∞ Z ∞
−x 4−1
Γ(4) = e x dx = e−x x3 dx = (4 − 1)! = 6
0 0

This was just a trivial example, and you are not going to get this easier unless you are
lucky, because this is just the form itself.

Now here will come an easy, but an important question, because it opens a new thing about Γ,

Example 3.2. Compute the following,

Z ∞ 1
e−x x− 2 dx
0
.

Now we already have done such a trivial example in order to understand the gamma function,
but what’s n here?
1
Yes, you are right! We have n = 2 and hence can’t use the (n − 1)! rule, what could we do now?

Property —
√
 
1
Γ = π
2

So our answer is, Z ∞  

√
−x − 12 1
e x dx = Γ = π
0 2

3
 Now, based on the newest thing we learnt, and using old rules(Γ(n + 1) = nΓn), try
evaluating this. Let me do one for you,
      √
3 1 1 1 π
• Γ =Γ 1+ = Γ =
2 2 2 2 2
 
5
• Γ
2
 
7
• Γ
2
   
1 3
• Γ Γ
4 4

Well, I am sure you are now struck on the last exercise, but we always have a way.

~3.3 Euler’s Reflection Formula

Euler’s Reflection Formula — For 0 < n < 1,

π
Γ(n)Γ(1 − n) = = πcosec nπ
sin nπ

Now, we can attempt the last exercise,

√
       
1 3 1 1 π
Γ Γ =Γ Γ 1− = π = 2π
4 4 4 4 sin 4

1 √
π, how exactly? For n = 12 , we can say that


This also shows that Γ 2 =
   
1 1 π
Γ Γ = =π
2 2 sin π2
1

√
This shows that Γ 2 is π.

4
~3.4 The sinm x cosn x form

Let’s try a nice problem now,

Example 3.3. Compute the following,

Z π
2
sin2 x cos4 x dx
0

Before solving, knowing this property is very important,

Property —    
m+1 n+1
Z π Γ Γ
2 2 2
sinm x cosn x dx =  
0 m+n+2
2Γ
2
This is a very important property, many things can be induced from here.

Now the problem turns trivial,

   
3 5
Z π Γ Γ
2 2 2
sin2 x cos4 x dx =
0 2Γ (4)

We have already learnt how to evalute them. The rest is left as an exercise.

~3.5 Legendre’s Duplication Formula

Legendre’s Duplication Formula —

  √
1 π Γ(2n)
Γ (n) Γ n + =
2 22n−1

5
~3.6 Summing Up

Summing up all the properties we read one by one,

• Γ(n + 1) = nΓ(n)
• For n ∈ N, Γ(n) = (n − 1)!
√
 
1
• Γ = π
2
π
• For 0 < n < 1, Γ(n)Γ(1 − n) = = πcosec nπ
sin nπ
   
m+1 n+1
Z π Γ Γ
2 2 2
• m n
sin x cos x dx =  
0 m + n + 2
2Γ
2
  √
1 π Γ(2n)
• Γ (n) Γ n + =
2 22n−1
There are many more properties, but these are usually required.

~3.7 Some problems and problem types

Example 3.4 (MIT Integration Bee). Compute the following

Z ∞
2
x5 e−4x dx
0

Just follow my steps and work out yourself,

t2
• Set 4x2 = t implying 8x dx = dt and x4 = 16

• We can now rewrite the integral as

Z ∞
1
e−t t2 dt
8 · 16 0

• Well just you got the form, try doing it now.

Now we will try some beautiful problems,

6
 Example 3.5. Compute the following
Z ∞
2 x2
e−a dx
0

In order to make use of gamma function, we need a e−x xn−1 form, so we will simply set x2 a2 = t,
this gives us √
2 2 t 1 −1
a 2x dx = dt =⇒ 2a dx = dt =⇒ dx = · t 2 dt
a 2a
hence our problem can be re written as,
Z ∞ Z ∞
−a2 x2 1 1
e dx = t− 2 e−t dt
0 2a 0

Now we can see that

Z ∞ Z ∞  
√
− 12 −t 1
−1 −t 1
t e dt = t 2 e dt = Γ = π
0 0 2

So our final answer is Z ∞ √

−a2 x2 π
e dx =
0 2a
Now we will check on a general problem, from here, you will be able to do some problems of
this form easily without any second thoughts.

Example 3.6. Compute the following

Z ∞
xn−1 e−nx dx
0

Well, I will let nx = t and the substitution is not an unmotivated step when we have come this
far, so n dx = dt, now
t tn−1
x= =⇒ xn−1 = n−1
n n
So our problem can now be written as
Z ∞
1 Γ(n)
tn−1 e−t dt = n
n · nn−1 0 n

So what can we say from here directly for some problems now? For example you are given to
evaluate,

7
 Example 3.7. Z ∞
x12 e−13x dx
0

So, the technique will rightly click on us now. So

Z ∞
Γ(13) 12!
x12 e−13x dx = 13
= 13
0 13 13

Hence, this type of problems can now be tackled with ease. Here is another problem type now,

Example 3.8 (HMMT Integration Bee). Compute the following

Z ∞
x
dx
0 1 + ex

The best technique to solve this type of problems is by dividing by ex ,

Z ∞ Z ∞
x xe−x
dx = dx
0 1 + ex 0 e−x + 1
1
Now we can write the expansion of as 1 − e−x + e−2x − . . .
1 + e−x
So,
∞ ∞ ∞ ∞
xe−x
Z Z Z Z
−x −2x −x
dx = xe − xe + . . . dx = xe dx − xe−2x dx + . . .
0 1 + e−x 0 0 0

Now what can we say about: Z ∞

xe−nx dx
0
As usual, set nx = t, hence n dx = dt, so
Z ∞
1 1 1
te−t dt = 2 · Γ(2) = 2
n2 0 n n

Hence
∞ ∞
π2
Z Z
1 1 1 1
xe−x dx − xe−2x dx + · · · = − + − + · · · =
0 0 12 22 32 42 12
Well that’s cool. Now let’s try another type.

8
 Example 3.9. Compute the following
∞
xc
Z
dx
0 cx

Now we don’t have the desired form right now, what can we do now? We have to transform it
then accordingly. As we can see, we just have to now concentrate on bringing a e−x somehow.
That’s possible if we think of using log properties wisely, we know that
n
xn = elog x = en log x =⇒ x−n = e−n log x

So we will manipulate the c−x term, see that we can write c−x = e−x log c ,
Z
e−x log c xc dx

tc
Set x log c = t implying log c dx = dt, xc =
(log c)c
Z ∞ Z ∞
1 Γ(c + 1)
e−x log c xc dx = e−t tc dt =
0 (log c)(log c)c 0 (log c)(log c)c

9
~4 Beta Function

Beta function is quite closely related to gamma function, before talking about anything else,
let’s switch to the basic definition,

Beta Function — Beta function is denoted by B and defined as

Z 1
B(m, n) = xm−1 (1 − x)n−1 dx
0

where m, n are complex real number with a positive real part.

Show that B(m, n) = B(n, m)

~4.1 Relation with Γ

Relation between Beta and Gamma function —

Γ(m)Γ(n)
B(m, n) =
(m + n)

Hence      
1 1 1 1 1
B , =Γ Γ =π
2 2 2 2 Γ(1)
Let’s try a problem now,

Example 4.1. Compute the following

Z 1
x2 (1 − x)3 dx
0

This is directly from the form,

Z 1
B(3, 4) = x2 (1 − x)3 dx
0

10
 Γ(3)Γ(4) 2!3! 1
= = =
Γ(7) 6! 60

Example 4.2 (HMMT Integration Bee). Compute the following,

Z 1
dx
√
0 x − x2

This is somewhat a direct problem too. See that x − x2 can be written as x(1 − x), so the
problem statement is actually,
Z 1 Z 1
dx dx
√ = 1 1
x−x 2
0 0 x 2 (1 − x) 2

Z 1 1 1
= x− 2 (1 − x)− 2 dx
0
So we have the desired form, congratulations!
Hence m − 1 = n − 1 = − 21 =⇒ m = n = 12 . Hence the problem rephrases to
Z 1  
− 21 − 12 1 1
x (1 − x) =B ,
0 2 2
1 1


We already evaluated it’s value as B 2, 2 = π, hence,
Z 1
dx
√ =π
0 x − x2

~4.2 Trigonometric Form

So, till now, we have said that,

Z 1
B(m, n) = xm−1 (1 − x)n−1 dx
0

Exercise 4.1. What if we set x = sin2 t ?

I hope it’s not too haphazard that why we suddenly do sin2 t if are reading this. Still for
convenience, you can see that there is 1 − x term, so plugging in x = sin2 t gives us cos2 t.
Solving it will give the desired form
Z π
2
B(m, n) = 2 sin2m−1 x cos2n−1 x dx
0

11
 Beta Function Trigonometric Form —
Z π
2
B(m, n) = 2 sin2m−1 x cos2n−1 x dx
0

Well, you might remember that in gamma function section, the property that
   
m+1 n+1
Z π Γ Γ
2 2 2
sinm x cosn x dx =  
0 m + n + 2
2Γ
2

And we learnt that,

Γ(m)Γ(n)
B(m, n) =
(m + n)
m+1
Hence plugging in 2 = a, n+1
2 = b =⇒ m = 2a − 1, n = 2b − 1, So we can now write it as,
Z π
2 Γ (a) Γ (b) B(a, b)
sin2a−1 x cos2b−1 x dx = =
0 2Γ (a + b) 2

This gives us our desired form.

Example 4.3. Compute the following,

Z π
2
sin3 x cos9 x dx
0

Hence, 2m − 1 = 3 and 2n − 1 = 9, m = 2, n = 5. Hence we can say that,

Z π
B(2, 5) 2
= sin3 x cos9 x dx
2 0

Now B(2, 5) can be calculated with ease,

B(2, 5) Γ(2)Γ(5)
=
2 2Γ(7)

Here is another form by which B(m, n) can be represented, Now we will discuss one more form.

12
~4.3 0 to ∞

Another Form —
∞
xm−1
Z
B(m, n) = dx
0 (1 + x)m+n

People knowing about this form would be solving this with ease,

Example 4.4. Compute the following

∞
x2
Z
dx
0 (1 + x)4

Let’s write it up again and then compare to the form,

Z ∞
x2
dx
0 (1 + x)4

Now accordance to our form, m − 1 = 2 and m + n = 4, hence m = 3, n = 1. Hence what we

need to find is B(3, 1), hence:
Z ∞
x2 Γ(3)Γ(1) 2! 1
4
dx = B(3, 1) = = =
0 (1 + x) Γ(4) 3! 3

13
~5 Gaussian Integral

Gaussian Integral — Well, it states that,

Z ∞
2 √
e−x dx = π
−∞

It can also be written the other way as

Z ∞ √
−x2 π
e dx =
0 2

Well, we learned about the gamma function earlier, can we find out the Gaussian integral
through it? Let us recap the form of the gamma function,
Z ∞
Γ(n) = e−x xn−1
0

1 √
π, so putting n = 12 , we get


We know that Γ 2 is also
  Z ∞
1 1
Γ = e−x x− 2
2 0

Let’s try now, we can write the integral as,

Z ∞ Z ∞
−x2 2
e dx = 2 e−x dx
−∞ 0

Exercise 5.1. Why is the last statement true? Recall things about odd and even
functions.

√
Setting x = t gives us
1
t− 2
dx = dt
2
So finally we have,
Z ∞ Z ∞
−x2 2
e dx = 2 e−x dx
−∞ 0
1 ∞ −t − 1
Z
=2· e t 2 dt
2 0
 
1
=Γ
2
√
= π

14
Let’s check a more general form,

More General Form — For a, b being constants,

Z ∞ r
−a(x+b)2 π
e dx =
−∞ a

Let’s try a problem through application of Gaussian integral.

Example 5.1. Compute the following

Z ∞
1
√ e−x dx
0 x

Let’s see in a step-wise manner,

2
If we want to bring e−x form in the expression in order to apply the Gaussian Integral, then
we have to get a t2 in place of x. No harm in trying it. However, you should also consider the
fact that we have √1x and hence, how much help would the x = t2 setting give?
√ 1
This is a first come thought according to √1 in problem, derivative of m gives √ .
x 2 m
√
Hence instead of setting x = t2 , set the same thing in this way as x = t implying
1
√ dx = dt
2 x

This completes the problem more or less now. Hence the problem can now be written as
Z ∞
2
2 e−t dt
0

Hence by gaussian integral, we can now say that

Z ∞ √
−t2 π √
2 e dt = 2 · = π
0 2

Cool right!

15
 Haha, this can be solved more easily, can’t you see a direct form for the problem. If not,
I will write the question again, Z ∞ 1
e−x x− 2 dx
0
1


Don’t you see Γ 2 ? That’s right. Well, you have already done this while proving
Gaussian integral through gamma function and the problem itself as part of the Gamma
function section, it would be sad if you have forgotten so easily.

Here is one more example,

Example 5.2. Compute the following

Z ∞
2 x2
e−a dx
0

We solved this using gamma function, time to use gaussian integral to solve now. We will follow
the same notion, we again need to substitute, such that we get the desired form.
2
Earlier time we had substituted a2 x2 = t because we needed a e−x , however we need e−x
this time, hence accordingly, just take ax = t, this gives a dx = dt, hence we can rewrite our
problem as, √
1 ∞ −a2 x2 1 ∞ −t2
Z Z
π
ae dx = e dt =
a 0 a 0 2a

16