I have the following self-consistent equation for $a(T)$:
$$ a(T)=\int_{-\infty}^{+\infty}\frac{1}{\sqrt{2\pi}}e^{-\frac{x^2}{2}}\mbox{tanh}^2\left(\frac{x\sqrt{a(T)}}{T}\right)dx$$
for $T\rightarrow0$ how can I find the linear term of $a(T)$? Can anyone help me?
Using the identity $\tanh^2u=1-\mbox{sech}^2u$, we may rewrite the equation for $a(T)$ as $$ a(T)=1-\int_{-\infty}^{+\infty}\frac{1}{\sqrt{2\pi}}e^{-\frac{x^2}{2}}\mbox{sech}^2\left(\frac{x\sqrt{a(T)}}{T}\right)dx. \tag{1} $$ If $T\ll \sqrt{a(T)}$, $\mbox{sech}^2\left(x\sqrt{a(T)}/T\right)$ decays much faster than $e^{-x^2/2}$, so the integral in $(1)$ can be evaluated using the steepest descent approximation, yielding $$ a(T)\approx 1-\int_{-\infty}^{+\infty}\frac{1}{\sqrt{2\pi}} \mbox{sech}^2\left(\frac{x\sqrt{a(T)}}{T}\right)dx = 1-\frac{2T}{\sqrt{2\pi a(T)}}. \tag{2} $$ Eq. $(2)$ shows that $a(0)=1$ and, for $T\ll 1$, $$ a(T)\approx 1-\frac{2T}{\sqrt{2\pi}}. \tag{3} $$