The Gaussian Integral

∞ 2
Let 𝐼 = ∫ ⅇ −𝑥 ⅆ𝑥
−∞

By first squaring both sides, we obtain:

∞
∞
−𝑥 2 2
𝐼2 = ∫ ⅇ ⅆ𝑥 ⋅ ∫ ⅇ −𝑥 ⅆ𝑥
−∞
−∞

We can apply a simple change of variables on the second integral converting x to y

∞
∞
2 −𝑥 2 2
𝐼 = ∫ⅇ ⅆ𝑥 ⋅ ∫ ⅇ −y ⅆy
−∞
−∞

We can now bring the integrands together, thus forming a double integral
∞ ∞
∞ 2 2 ∞ 2 +𝑦 2 )
𝐼2 = ∫ ∫ ⅇ −𝑥 ⋅ ⅇ −𝑦 ⅆ𝑥 ⅆ𝑦 ➔ ∫ ∫ ⅇ −(𝑥 ⅆ𝑥 ⅆ𝑦
−∞ −∞
−∞ −∞

We can now proceed to a conversion from cartesian coordinates to polar coordinates

-(𝑥 2 + 𝑦 2 ) simply becomes -r2
To convert the limits of integration to the polar plane we first have to consider the following diagram:

Suppose: We have a line on the polar plane(defined by radius (r) and angle (θ) measured from the horizontal)

Thus we observe that dxdy = rdrdθ

Now, since r only exists from 0 to infinity and theta from 0 to 2π we also change our limits leading to:
 2𝜋
∞
2
𝐼 2 = ∫ ∫ ⅇ −𝑟 𝑟 ⅆ𝑟 ⅆ𝜃
0
0

We can evaluate the inner integral first:

ⅆ𝑢
Using the substitution 𝑢 = 𝑟 2 ⇒ ⅆ𝑢 = 2𝑟 ⅆ𝑟 ⇒ ⅆ𝑟 = 2𝑟
∞ 2 1 ∞ 1 1
➔ ∫ ⅇ −𝑟 𝑟 ⅆ𝑟 = 2 ∫0 ⅇ −𝑢 ⅆ𝑢 = − 2 ⅇ −𝑢 |∞
0 =2
0

Now substituting back into the original integral:

2𝜋
1 1
➔ 𝐼2= ∫ 2
ⅆ𝜃 = 2 𝜃|2𝜋
0 =𝜋
0

➔ 𝐼 = √𝜋

∞
2
∫ ⅇ −𝑥 ⅆ𝑥 = √𝜋
−∞