Evaluating $I(z,s)=\int_0^1\int_0^1\left(1-\frac{(1-x)(1-y)}{(1-(1-z)x)(1-(1-z)y)}\right)^{s-2}\,\mathrm dx\mathrm dy$

digamma-functiongamma functionintegrationmultivariable-calculussequences-and-series

I came across the following double integral in a statistics problem:

For $z>0$
$$
I(z,s)=\int_0^1\int_0^1\left(1-\frac{(1-x)(1-y)}{(1-(1-z)x)(1-(1-z)y)}\right)^{s-2}\,\mathrm dx\mathrm dy.
$$

All I was interested in was the values of $s$ for which $I$ converges $(s>0)$. That said, the integral looked interesting enough to try and evaluate. I was successful in evaluating the special case $z=1$ (see below) but could not solve for the general solution. Any ideas on how to solve it?

Case for $z=1$:

We have
$$
I(1,s)=\int_0^1\int_0^1\left(1-(1-x)(1-y)\right)^{s-2}\,\mathrm dx\mathrm dy.
$$

Substituting $(u,v)=(1-(1-x)(1-y),x)$, the resulting integral in $v$ is easily evaluated in terms of the natural logarithm; hence,
$$
I(1,s)=-\int_0^1 u^{s-2}\log(1-u)\,\mathrm du.
$$

Observe that $-u^{s-2}\log(1-u)\sim u^{s-1}+\mathcal O(u^s)$ as $u\nearrow 0$, which tells us the integral should converge for $s>0$. Using the series expansion for the logarithm we then integrate termwise to find
$$
I(1,s)=\sum_{k=1}^\infty\frac{1}{k(k+s-1)}=\frac{H_{s-1}}{s-1},
$$

where $H_{s-1}=\psi(s)+\gamma$ is the generalized harmonic number, $\psi(z)=\partial_z\log\Gamma(z)$ is the digamma function and $\gamma=0.577\dots$ is the Euler–Mascheroni constant.

Best Answer

Assuming that $s$ is an integer $\geq 2$, each term in the binomial expansion of the integrand is separable into a product of integrals over $x$ and $y$. Defining $N=s-2$ and $z'=1-z$ for notational simplicity, $$ I(1-z',N+2) = \int_{0}^1 dx \int_{0}^1 dy \sum_{k=0}^N \binom{N}{k} \left( -\frac{(1-x)(1-y)}{(1-z'x)(1-z'y)}\right)^k \\ = \sum_{k=0}^N \binom{N}{k} (-1)^k \left\{ \left( \int_{0}^1 \left( \frac{1-x}{1-z'x}\right)^k \, dx \right)^2 \right\} $$ As a check, when $z=1$ and thus $z'=0$, the inner integral is $1/(1+k)$, and so $$ I(1,N+2) = \sum_{k=0}^N \binom{N}{k} \frac{(-1)^k}{(1+k)^2} $$ which sums (as verified by Mathematica) to the same result derived by you. For general $z'$, define $$ \xi(z) =\int_0^1 \left( \frac{1-x}{1-(1-z)x} \right)^k \, dx $$ Unfortunately I cannot evaluate this integral, but it can be expanded to linear order around $z=1$ to give $$ \xi(z) = \frac{1}{1+k} + \frac{k}{(k+1)(k+2)} (1-z) + \mathcal{O}((1-z)^2) $$ yielding (for integral $s \geq 2$ at least) (edit and with some corrections to converting the expansion of $\xi(z)$ into that of $\xi^2(z)$) $$ I(z,s) = \frac{\psi(s)+\gamma}{s-1} + 2 \frac{s(\psi(s+1)+\gamma)-2s+1}{s(s-1)} (1-z) + \mathcal{O}((1-z)^2) $$

ADDITION

As pointed out by the OP, from Mathematica or integral tables (c.f. https://dlmf.nist.gov/15.6#E1) we have $$ \xi(z) = \int_0^1 \left(\frac{1-x}{1-(1-z)x}\right)^k \, dx = \frac{1}{k+1} F(1,k;k+2;1-z) $$ (Note that the referenced table represents the identity using the Olver form of the hypergeometric function $\mathbf{F}(a,b;c;z)=F(a,b;c;z)/\Gamma(c)$, and that $F(a,b; c; z)$ is symmetric in $a$ and $b$). This gives the result, for integral $s \geq 2$, $$ \left. I(z,s)\right|_{s \in \mathbb{N}, s\geq 2} = \sum_{k=0}^{s-2} \binom{s-2}{k} \frac{(-1)^k}{(1+k)^2} F(1,k;k+2,1-z)^2 $$

At least formally, without worrying about convergence, this could be generalized to non-integer $s$ (and $s=0,1$) by extending the series to infinity (with generalized binomial coefficients), but this is probably less useful. The Taylor series of the squared hypergeometric function is $$ F(1,k;k+2;1-z)^2 = \left( \sum_{n=0}^\infty \frac{(1)_n (k)_n}{(k+2)_n} \frac{(1-z)^n}{n!} \right)^2 \\ = \left( \sum_{n=0}^\infty \frac{k(k+1)}{(k+n)(k+n+1)} (1-z)^n \right)^2 \\ = \sum_{n=0}^\infty \left\{ \sum_{m=0}^n \frac{k(k+1)}{(k+m)(k+m+1)} \frac{k(k+1)}{(k+n-m)(k+n-m+1)} \right\} (1-z)^n $$ This inner sum is somewhat messy, but can be broken up with partial fractions to yield $$ \sum_{n=0}^\infty \frac{2k^2(k+1)^2}{2k+n+1} \left( \frac{H_{k+n}-H_{k-1}}{2k+n} - \frac{H_{k+n+1}-H_k}{2k+n+2} \right) (1-z)^n $$ Substituting into the expression for $I(s,z)$ and exchanging the order of summation, the Taylor series $I(z,s) = \sum_{n=0}^\infty C_n (1-z)^n$ has coefficients $$ C_n = \sum_{k=0}^{\infty} \binom{s-2}{k} \frac{2k^2 (-1)^k}{2k+n+1} \left( \frac{H_{k+n}-H_{k-1}}{2k+n} - \frac{H_{k+n+1}-H_k}{2k+n+2} \right) $$ This reduces to the special cases above for $n=0,1$, e.g. $$ C_0 = \sum_{k=0}^{\infty} \binom{s-2}{k} \frac{2k^2 (-1)^k}{2k+1} \left( \frac{1}{2k^2} - \frac{1}{2(k+1)^2} \right) = \sum_{k=0}^{\infty} \binom{s-2}{k} \frac{k^2 (-1)^k}{(k+1)^2} \\ C_1 = \sum_{k=0}^{\infty} \binom{s-2}{k} \frac{2k^2 (-1)^k}{2k+2} \left( \frac{1}{k(k+1)} - \frac{1}{(k+1)(k+2)} \right) = \sum_{k=0}^{\infty} \binom{s-2}{k} \frac{2k (-1)^k}{(k+1)^2(k+2)} $$ and so on.