A difficult integral: Laplace transform of Gaussian*Erfi

540 Views Asked by At

$$\sqrt{\frac{\pi }{2}} e^{-\frac{t^2}{2}} \text{erfi}\left(\frac{t}{\sqrt{2}}\right) \rightarrow -\frac{1}{2} e^{\frac{s^2}{2}} \text{Ei}\left(-\frac{s^2}{2}\right)$$ or $$ e^{-\frac{t^2}{2}}\int^t_0e^{\frac{q^2}{2}}dq \rightarrow e^{\frac{s^2}{2}}\int^{\infty}_{s}\frac{e^{\frac{-q^2}{2}}}{q}dq $$

how do I laplace transform these? Which is:

$$ \int^\infty_0 e^{-\frac{t^2}{2}}\bigg(\int^t_0e^{\frac{q^2}{2}}dq\bigg)e^{-st}dt = e^{\frac{s^2}{2}}\int^{\infty}_{s}\frac{e^{\frac{-q^2}{2}}}{q}dq $$

There is a wealth of other transformations here. (I could not recognize the particular one that I am asking here though.) Any insight on how those could be performed would also be appreciated.

1

There are 1 best solutions below

3
On BEST ANSWER

Use change of order of the double integral (which can be checked to be valid by Fubini's theorem) in the LHS (i.e. the Laplace transform integral) to get $$\int_{0}^{\infty} e^{-st-t^2/2}\left(\int_{0}^t e^{q^2/2}dq\right)dt=\int_{0}^\infty e^{q^2/2}\left(\int_{q}^\infty e^{-st-t^2/2}dt\right)dq$$ I assume $s$ to be real. Then, $$\int_{q}^\infty e^{-st-t^2/2}dt=e^{s^2/2}\int_{q+s}^\infty e^{-t^2/2}dt=e^{s^2/2}e^{-q^2/2}\int_{s}^\infty e^{-qt-t^2/2}dt\\\implies LHS=e^{s^2/2}\int_{0}^\infty \int_{s}^\infty e^{-qt-t^2/2}dtdq\\=e^{s^2/2}\int_{s}^\infty e^{-t^2/2}\int_{0}^\infty e^{-qt}dq dt=RHS$$ The last two steps follow because the integration limits are decoupled and one can easily check using Fubini's theorem that the change of order of integration is valid.