[Math] How to evaluate $\int_0^\infty e^{itx} e^{-x} dx$

characteristic-functionscomplex integrationintegration

When calculating the characteristic function of the exponential distribution function, we need to evaluate the complex-integration:
\begin{align*}
\int_0^\infty e^{itx}e^{-x} dx
\end{align*}
for any $t \in \mathbb{R}$.

I understand how to evaluate this integral by treating the real part and imaginary part separately, but I am wondering is there any approach that uses the complex analysis theory? I found some answer uses the seemingly unjustified "fundamental theorem of calculus":

$$\int_0^\infty e^{(it – 1)x} dx = \frac{1}{it – 1}\int_0^\infty e^{(it – 1)x} d(it – 1)x = \frac{1}{1 – it}.$$

I think this solution is lacking any theoretic support (maybe I am wrong, please advise if there is any theorem that supports the above calculation).
Specifically, can this integral be evaluated using residue calculus (contour integration)?

Best Answer

I figured out a rigorous proof by myself.

If $t = 0$, then it is an integration of a real-valued function, and clearly, $\int_0^\infty e^{-x} dx = 1$.

If $t \neq 0$, without losing of generality, assume $t > 0$. Consider the contour below: enter image description here

In the picture, $n$ is a positive number that will be sent to $\infty$, the top line passes the origin and the point $(-1, t)$. And we set $f(z) = e^z, z \in \mathbb{C}$. By Cauchy's integration theorem, \begin{align} 0 = \int_\Gamma f(z) dz = \int_{\Gamma_1} e^z dz + \int_{\Gamma_2} e^z dz + \int_{\Gamma_3} e^z dz \end{align}

Let's denote the angle between $\Gamma_1$ and the real axis by $\theta_0$.

Clearly, $\int_{\Gamma_3}e^z dz = \int_{-n}^0 e^x dx = 1 - e^{-n}$.

On $\Gamma_1$, $z$ has the representation $z = (it - 1)x, x \in (0, n/|1 - it|)$, thus \begin{align*} \int_{\Gamma_1}e^z dz = \int_0^{n/\sqrt{1 + t^2}}e^{(it - 1)x}(it - 1) dx = (it - 1) \int_0^{n/\sqrt{1 + t^2}} e^{(it - 1)x} dx \end{align*}

To get the desired result, it remains to show $\int_{\Gamma_2} e^z dz \to 0$ as $n \to \infty$. Let $z = ne^{i\theta}$ with $\theta \in (\theta_0, \pi)$. It follows that \begin{align*} & \left|\int_{\Gamma_2} e^z dz\right| = \left|\int_{\theta_0}^\pi e^{ne^{i\theta}}nie^{i\theta} d\theta\right| \\ \leq & \int_{\theta_0}^\pi e^{n\cos\theta}n d\theta \\ \leq & ne^{n\cos{\theta_0}}(\pi - \theta_0) \to 0 \end{align*} as $n \to \infty$. Here we used the fact that $\pi/2 < \theta_0 < \pi$.

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