Calculate $$\int x^2\sqrt{a^2+x^2}dx$$
My try (directly integrating by parts): $$\int x^2\sqrt{a^2+x^2}=\dfrac{x^3}{3}\sqrt{a^2+x^2}-\int \dfrac{x^3}{3}\dfrac{x}{\sqrt{x^2+a^2}} dx=\\=\dfrac{x^3}{3}\sqrt{a^2+x^2}-\dfrac13\int \dfrac{x^3\cdot x}{\sqrt{x^2+a^2}}dx=\\=\dfrac{x^3}{3}\sqrt{a^2+x^2}-\dfrac13\int x^3d\sqrt{x^2+a^2}.$$ How do we calculate this (new) integral though?
P.S. I am not yet familiar with the approach that uses substitution for solving integrals, so I'd rather integrate by parts on this occasion (as I think it would probably work).
You can solve it via hyperbolic substitution plus integration by parts (it'd be too cumbersome to work only with IBP).
We begin by doing $x=a\sinh\theta$, thus $dx=a\cosh\theta d\theta$. $$ \begin{aligned} \mathcal J\equiv\int x^2\sqrt{a^2+x^2}dx&=\int a^2\sinh^2\theta\sqrt{a^2+a^2\sinh^2\theta}\ a\cosh\theta d\theta\\ &=a^4\int\sinh^2\theta\cosh^2\theta d\theta\\ &=\dfrac{a^4}{4}\int\sinh^22\theta d\theta. \end{aligned}$$
Now we proceed with IBP in order to compute $\int\sinh^22\theta d\theta$.
We choose $u=\sinh2\theta$ and $dv=\sinh2\theta d\theta$, meaning that $du=2\cosh\theta d\theta$ and that $v=\frac{1}{2}\cosh2\theta \ (+C)$. $$ \begin{aligned} \frac{4}{a^4}\mathcal J=\mathcal I=\int\sinh^22\theta d\theta&=\frac{1}{2}\sinh 2\theta\cosh2\theta-\int\cosh^22\theta d\theta\\ &=\frac{1}{2}\sinh 2\theta\cosh2\theta-\int(1+\sinh^22\theta)d\theta\\ &=\frac{1}{2}\sinh 2\theta\cosh2\theta-\theta-\mathcal I \end{aligned}$$ $$\implies \mathcal I=\frac{1}{2}\sinh 2\theta\cosh2\theta-\theta-\mathcal I$$ $$\hspace{0.5cm}\implies\mathcal I=\frac{1}{4}\sinh 2\theta\cosh2\theta-\frac{\theta}{2}.$$
At last we revert the substitution expressing $\theta$ in function of $x$ $\left(\theta=\sinh^{-1}\left(\frac{x}{a}\right)\right)$. Thus, the final result should be $$\mathcal J=\frac{a^4}{16}\sinh\left[2\sinh^{-1}\left(\frac{x}{a}\right)\right]\cosh\left[2\sinh^{-1}\left(\frac{x}{a}\right)\right]-\frac{a^4}{8}\sinh^{-1}\left(\frac{x}{a}\right)+C.$$
(Maybe it can be further simplified in the form of radicals?)