[Math] Double Integral $\int_0^\infty \int_0^\infty \frac{\log x \log y}{\sqrt {xy}}\cos(x+y)\,dx\,dy=(\gamma+2\log 2)\pi^2$

calculuscomplex-analysisdefinite integralsintegrationreal-analysis

Hi I am trying to solve this double integral
$$
I:=\int_0^\infty \int_0^\infty \frac{\log x \log y}{\sqrt {xy}}\cos(x+y)\,dx\,dy=(\gamma+2\log 2)\pi^2.
$$
Thank you.

The constant in the result is given by $\gamma\approx .577$, and is known as the Euler-Mascheroni constant. I was thinking to write
$$
I=\Re \bigg[\int_0^\infty \int_0^\infty \frac{\log x \log y}{\sqrt{xy}}\, e^{i(x+y)}\, dx\, dy\bigg]
$$
and using Leibniz's rule for differentiation under the integral sign to write
$$
I(\eta, \xi)=\Re\bigg[ \int_0^\infty \int_0^\infty \ \frac{\log (\eta x)\log(\xi y)}{\sqrt{xy}} e^{i(x+y)}dx\,dy. \bigg]\\
$$
After taking the derivatives it became obvious that I need to try another method since the x,y constants cancel out. How can we solve this integral I? Thanks.

Best Answer

Using the identity

$$\cos(x+y)=\cos(x)\cos(y)-\sin(x)\sin(y)$$

The integral can be written $$ I=\int_0^\infty \int_0^\infty \frac{\log x \log y}{\sqrt {xy}}\left(\cos(x)\cos(y)-\sin(x)\sin(y)\right)\,dx\,dy $$

Now by splitting the integrals

$$\int_0^\infty \int_0^\infty \frac{\log x \log y}{\sqrt {xy}}\cos(x)\cos(y)\,dx\,dy-\int_0^\infty \int_0^\infty \frac{\log x \log y}{\sqrt {xy}}\sin(x)\sin(y)\,dx\,dy $$

Notice by symmetry of the integrals we have

$$\left(\int^\infty_0 \frac{\log x }{\sqrt {x}}\cos(x)\,dx \right)^2-\left(\int^\infty_0 \frac{\log x }{\sqrt {x}}\sin(x)\,dx \right)^2 $$

Both inegrals are solvable by using the mellin transforms

$$\int^\infty_0 x^{s-1}\sin(x)\,dx = \Gamma (s) \sin\left( \frac{\pi s}{2} \right)$$

$$\int^\infty_0 x^{s-1}\cos(x)\,dx = \Gamma (s) \cos\left( \frac{\pi s}{2} \right)$$

By differentiation under the integral sign and using $s=\frac{1}{2}$.

$$\int^\infty_0 \frac{\log x }{\sqrt {x}}\cos(x)\,dx =-\frac{1}{2} \sqrt{\frac{π}{2}} \left(2 \gamma +π+\log(16) \right) $$

$$\int^\infty_0 \frac{\log x }{\sqrt {x}}\sin(x)\,dx=\frac{1}{2} \sqrt{\frac{π}{2}} (-2 \gamma +π- \log(16)) $$

Collecting the results together we have

$$I=(\gamma+2\log 2)\pi^2$$