Compute $I(x,y,z)=\int_{0}^{T} \frac{1}{(T-t)^{3/2}t^{1/2}} \exp \left(-\frac{\left(z-x-\frac{t}{T}(y-x)\right)^{2}}{2 \frac{t(T-t)}{T}}\right)$

exponential functionimproper-integralsintegrationreal-analysis

I am looking at the integral

$$I(x,y,z)=\int_{0}^{T} \frac{1}{(T-t)^{3/2}t^{1/2}} \exp \left(-\frac{\left(z-x-\frac{t}{T}(y-x)\right)^{2}}{2 \frac{t(T-t)}{T}}\right) dt$$

where $x,y,z$ are real numbers, $x \neq y$, and $T>0$. The function $t \rightarrow \frac{1}{(T-t)^{3/2}t^{1/2}} \exp \left(-\frac{\left(z-x-\frac{t}{T}(y-x)\right)^{2}}{2 \frac{t(T-t)}{T}}\right)$ is continuous, positive, and its limits on the extremities of the interval $(0,T)$ are $0$, hence the integral converges.

I would like to write this integral in terms of the erf function. I managed to compute

$$\hat I(x,y,z)=\int_{0}^{T} \frac{1}{(T-t)^{1/2}t^{1/2}} \exp \left(-\frac{\left(z-x-\frac{t}{T}(y-x)\right)^{2}}{2 \frac{t(T-t)}{T}}\right)$$

if that helps:

$$\hat I(x,y,z)= \begin{cases}\pi \exp \left[\frac{(y-x)^2}{2T}\right]\left(1-\operatorname{erf}\left[\left(1-2 \frac{z-x}{y-x}\right) \sqrt{\frac{(y-x)^2}{2T}}\right]\right), & \text { if } \quad \frac{z-x}{y-x}<0 \\ \pi \exp \left[\frac{(y-x)^2}{2T}\right]\left(1-\operatorname{erf}\left[\sqrt{\frac{(y-x)^2}{2T}}\right]\right), & \text { if } \quad 0 \leq \frac{z-x}{y-x} \leq 1 \\ \pi \exp \left[\frac{(y-x)^2}{2T}\right]\left(1-\operatorname{erf}\left[\left(2 \frac{z-x}{y-x}-1\right) \sqrt{\frac{(y-x)^2}{2T}}\right]\right), & \text { if } \quad 1<\frac{z-x}{y-x}\end{cases}$$

Best Answer

Surprisingly the requested integral is easier than the one evaluated. Set $\alpha=z-x~,~ \beta= z-y$. Then with a trivial rescaling of the variable, the integral can be written in the form

$$I(x,y,z)=\frac{1}{T}\int_{0}^1 \frac{du}{{u}^{1/2}(1-u)^{3/2}}\exp\left(-\frac{(\alpha(1-u)+\beta u)^2}{2Tu(1-u)}\right)$$

Expanding the numerator in the exponential and with one more change of variables $q=\frac{|\beta|u}{|\alpha|(1-u)}$ we end up with the form

$$I(x,y,z)=\frac{e^{-\alpha\beta/T}}{T}\sqrt{\frac{|\alpha|}{|\beta|}}\int_{0}^\infty\frac{dq}{\sqrt{q}}\exp\left(- \frac{|\alpha\beta|}{2T}(q+1/q)\right)$$

which can be easily solved for the final result

$$I=\sqrt{\frac{2\pi}{T(z-y)^2}} \exp\left(-\frac{(z-x)(z-y)+|z-x||z-y|}{T}\right)$$