I am having trouble with this question,
Given the probability measure: $$P(M)dM = C |\lambda_1 - \lambda_2| e^{-\frac{1}{4}(\lambda_1^2+\lambda_2^2)}d\lambda_1d\lambda_2d\theta $$
where $C$ is a constant and $\theta\in[0,2\pi)$. Show that the probability that $\lambda_1-\lambda_2 \geq S$ can be written: $$K\int_{S}^{\infty}\frac{1}{4}se^{-s^2/8}\,ds $$ $K$ is another constant.
