Marsden-3620111 VC September 27, 2011 10:20 322

322 The Change of Variables Formula and Applications of Integration

sends the rectangle D ∗ given by a ≤ r ≤ b, 0 ≤ θ ≤ π/2 onto the region D. This

transformation is one-to-one on D ∗ and so, by formula (7), we have
  b  π/2
log (x + y ) dx dy =
2 2
r log r 2 dθ dr
D a 0
 
π b
π b
= r log r 2 dr = 2r log r dr.
2 a 2 a

Applying integration by parts, or using the formula


x2 x2
x log x dx = log x −
2 4

from the table of integrals at the back of the book, we obtain the result
  
π b
π 2 1 2
2r log r dr = b log b − a log a − (b − a ) .
2 2
2 a 2 2 ▲

example 5 The Gaussian Integral One of the most beautiful applications of the change of
variables formula, polar coordinates, and the reduction to iterated integrals is their
application to the following formula, known as the Gaussian integral:
 ∞
√
e−x d x = π .
2

−∞

Not only is this formula very attractive in its own right, but it is also useful in areas such
as statistics. It also illustrates the unity of the transcendental numbers e and π nearly as
well as does the classic formula eiπ = −1.
To carry out the integration of the Gaussian integral,2 we first evaluate the double
integral

e−(x +y ) dx dy,
2 2

Da

where Da is the disk x 2 + y 2 ≤ a 2 . Because r 2 = x 2 + y 2 , and dx dy = r dr dθ , the

change of variables formula gives
     
−(x 2 +y 2 )
2π a
−r 2
2π
1 −r 2 a
e dx dy = e r dr dθ = − e  dθ
Da 0 0 0 2 0
 2π
1
(e−a − 1) dθ = π(1 − e−a ).
2 2
=−
2 0

2
The method that follows is admittedly not straightforward but requires a trick. The trick is to start with
the desired formula and square both sides. You will then observe that the left-hand side resembles an
iterated integral. There are several other ways to evaluate the Gaussian integral, but all of them require
some nonobvious method. For the use of complex variables to evaluate it, see, for example, J. Marsden
and M. Hoffman, Basic Complex Analysis, 3rd ed., W. H. Freeman, New York, 1998.
Marsden-3620111 VC September 27, 2011 10:20 323

6.2 The Change of Variables Theorem 323

If we let a → ∞ in this expression, we give meaning to the improper integral and get

e−(x +y ) dx dy = π.
2 2

R2

Assuming (as shown in the Internet supplement) that we can also evaluate this improper
integral as the limit of the integrals over the rectangles Ra = [−a, a] × [−a, a] as
a → ∞, we get

e−(x +y ) dx dy = π.
2 2
lim
a→∞ Ra

By reduction to iterated integrals, we can write this as

 a  a    a 2
−x 2 −y 2 −x 2
lim e dx e dy = lim e dx = π.
a→∞ −a −a a→∞ −a

That is,
 ∞ 2
e−x dx
2
= π.
−∞

Thus, taking square roots, we arrive at the desired result.

Here is a variant of the Gaussian integral. Evaluate
 ∞
e−2x dx.
2

−∞
√
To do this, use the change of variables formula y = 2x to reduce the problem to the
Gaussian integral just computed:
 ∞  a  √
2a
−2x 2 2 dy−2x 2
e dx = lim e−y √
e dx = lim √
−∞ a→∞
−a 2 a→∞ − 2a
 ∞ 
1 −y 2 1 √ π
= √ e dy = √ π = .
2 −∞ 2 2 ▲

Change of Variables Formula for Triple Integrals

To state this formula, we first define the Jacobian of a transformation from R3 to R3 —it
is a simple extension of the two-variable case.

Definition Let T : W ⊂ R3 → R3 be a C 1 function defined by the equations

x = x(u, v, w), y = y(u, v, w), z = z(u, v, w). Then the Jacobian of T , which
is denoted ∂(x, y, z)/∂(u, v, w), is the determinant
 
∂x ∂x ∂x 
 
 
 ∂u ∂v ∂w 
 
 ∂y ∂y ∂y 
 .
 ∂u ∂v ∂w 
 
 ∂z ∂z ∂z 
 
 ∂u ∂v ∂w