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I am trying to integrate this integral:

$$f(x)=\frac{1}{2\pi j}\int_{c-j\infty}^{c+j\infty}x^{-s}\sigma ^{ms-m}\left [ \frac{\Gamma \left ( \frac{s}{\beta} \right )}{\Gamma \left ( \frac{1}{\beta} \right )} \right ]^{m}ds$$ where $\sigma>0$, $\beta>0$, $m>0$ and both $\beta$ and $m$ are positive integers

For $m=2$, I need help continuing after simplifying to this form below: $$f(x)=\frac{1}{2\pi \sigma^{2} j \Gamma \left ( \frac{1}{\beta} \right )^{2}}\int_{c-j\infty}^{c+j\infty}\left ( \frac{\sigma^{2}}{x} \right )^{s}\Gamma \left ( \frac{s}{\beta} \right )^{2}ds$$

Which I managed to simplify to following form: $$f(x)=\frac{\beta}{2\pi \sigma^{2} j \Gamma \left ( \frac{1}{\beta} \right )^{2}}\int_{c-j\infty}^{c+j\infty}e^{ut}\ \Gamma \left (u \right )^{2}du$$

How to further simplify the following integral using Cauchy's residue theorem for multiple poles due to $\Gamma \left (u \right )^{2}$? $$\int_{c-j\infty}^{c+j\infty}e^{ut}\ \Gamma \left (u \right )^{2}du$$

Thanks

Ron Gordon
  • 141,538

1 Answers1

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EDIT

The previous versions of this answer contained an error. I have now corrected the error and have verified its veracity.


Let's look at your last integral, which may be evaluated using a simple Bromwich contour and the residue theorem. Really, for $t \gt 0$,

$$\int_{c-i \infty}^{c+i \infty} du \, e^{u t} \Gamma(u)^2 = i 2 \pi \sum_{n=0}^{\infty} \operatorname*{Res}_{z=-n} e^{z t} \Gamma(z)^2 $$

Now we know that $\Gamma$ has the form, near $z=-n$ of

$$\Gamma(z) = \frac{a_{-1}}{z+n} + a_0 + O(z+n)$$

where $a_{-1} = (-1)^n/n!$ and

$$a_0 = \frac{(-1)^n}{n!} \left ( \sum_{k=1}^n \frac1{k} - \gamma \right ) = \frac{(-1)^n}{n!} \left ( H_n - \gamma \right ) $$

This result may be derived from the relation

$$\Gamma(-n+\epsilon) \Gamma(n+1-\epsilon) = (-1)^{n} \frac{\pi}{\sin{\pi \epsilon}} $$

which means that

$$\Gamma(-n+\epsilon) = \frac{(-1)^n}{n!} \frac1{\epsilon} + \frac{(-1)^n}{n!} \left ( H_n - \gamma \right ) + O(\epsilon)$$

Thus,

$$\operatorname*{Res}_{z=-n} \left [ e^{t z} \Gamma(z)^2 \right ] = a_{-1}^2 t + 2 a_{-1} a_0 = 2 \frac{H_n-\gamma+t/2}{n!^2}$$

Now, the integral we seek is

$$\int_{c-i \infty}^{c+i \infty} du \, e^{u t} \Gamma(u)^2 = i 2 \pi \sum_{n=0}^{\infty} \frac{2 (H_n-\gamma) + t}{n!^2} e^{-n t} $$

Now,

$$\sum_{n=0}^{\infty} \frac{z^n}{n!^2} = I_0 \left ( 2 \sqrt{z} \right ) $$ $$\sum_{n=0}^{\infty} H_n \frac{z^n}{n!^2} =K_0 \left ( 2 \sqrt{z} \right ) + \left ( \frac12 \log{z} + \gamma \right ) I_0 \left ( 2 \sqrt{z} \right )$$

where $I_0$ and $K_0$ are modified Bessel functions of the first and second kind, respectively, of zeroth order. These sums result from the respective expansions of $I_0$ and $K_0$ for small argument.

Subbing $z=e^{-t}$, we finally arrive at the value of the integral:

$$\int_{c-i \infty}^{c+i \infty} du \, e^{u t} \Gamma(u)^2 = i 2 \pi \cdot 2 K_0 \left ( 2 e^{-t/2} \right ) $$

This is a two-sided transform, or a Mellin transform. (This was the original formulation of the problem.) The below derivation illustrates why.

ADDENDUM

I assumed that the first equation above is valid, but did not demonstrate how this is so. To see this, we must show that

$$R \int_{\pi/2}^{3 \pi/2} d\theta \, \left | \Gamma \left (R e^{i \theta} \right )^2 \right | e^{R t \cos{\theta}} $$

vanishes as $R \to \infty$.

Use Stirling's approximation:

$$\left |\Gamma \left (R e^{i \theta} \right )^2 \right | \sim \frac{2 \pi}{R} e^{2 R \log{R} \cos{\theta} -2 R \theta \sin{\theta}} e^{-2 R \cos{\theta}} $$

The term $R \log{R} \cos{\theta}$ dominates the other terms in the exponential, so that the behavior of this term is

$$\left |\Gamma \left (R e^{i \theta} \right )^2 \right | \sim \frac{2 \pi}{R} e^{2 R \log{R} \cos{\theta}} $$

Thus,

$$R \int_{\pi/2}^{3 \pi/2} d\theta \, \left | \Gamma \left (R e^{i \theta} \right ) \right |^2 e^{R t \cos{\theta}} \sim \frac{\pi^2}{R \log{R}} \quad (R \to \infty)$$

which indeed vanishes in the desired limit.

Note that the above criterion is independent of $t$. Thus, the transform is two-sided and not causal as was previously stated.

Ron Gordon
  • 141,538
  • thanks a lot! I will need some time to go through. May i know what is $H_n$ please? – arvindrajan92 Mar 10 '15 at 16:31
  • $$H_n =\sum_{k=1}^n \frac1{k}$$ is the $n$th harmonic number. – Ron Gordon Mar 10 '15 at 16:32
  • @arvindrajan92: just out of curiosity, in what context did you find this integral? – Ron Gordon Mar 10 '15 at 16:44
  • $\sigma ^{ms-m}\left [ \frac{\Gamma \left ( \frac{s}{\beta} \right )}{\Gamma \left ( \frac{1}{\beta} \right )} \right ]^{m}$ is the Mellin transform of product of $m$ independent exponential type distributions. I want to find the PDF by using inverse Mellin. Thats how I came about this integral – arvindrajan92 Mar 10 '15 at 16:46
  • @arvindrajan92: I meant, how did you come across the integral? (i.e., from a book, in the line of work or research, and if so, into what?) – Ron Gordon Mar 10 '15 at 16:52
  • oh, sorry. it is part of my research. into analytical evaluation of distributions. and one of them is the exponential type distribution – arvindrajan92 Mar 10 '15 at 16:55
  • musnt it be $\sum_{n=0}^{\infty} \frac{H_n-\gamma}{n!^2} e^{-n t}$ instead of $\sum_{n=1}^{\infty} \frac{H_n-\gamma}{n!^2} e^{-n t}$? – arvindrajan92 Mar 10 '15 at 17:00
  • @arvindrajan92: yes. Thanks for catching the typo. – Ron Gordon Mar 10 '15 at 17:01
  • why did u find the $\operatorname{Res}_{z=-n} \Gamma(z)^2$ and not $\operatorname{Res}_{z=-n} e^{z t} \Gamma(z)^2$? isnt $f(z)=e^{z t} \Gamma(z)^2$? – arvindrajan92 Mar 11 '15 at 03:27
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    @arvindrajan92: I apologize - I was wrong in the above comment. The exponential does matter because there is a double pole as well, so we do have to expand the exponential to capture an additional contribution to the residue. Anyway, the result is above and is much cleaner. It also jibes with Whittaker & Watson, Sec. 13-21, Equation 8 (which references a result from Heaviside's Electromagnetic Theory from 1912). – Ron Gordon Mar 12 '15 at 22:31
  • thank you very much for the correction. I was quite puzzled when you said it doesnt matter. thanks again :) – arvindrajan92 Mar 13 '15 at 04:45
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    @arvindrajan92: also note that this is a two-sided transform, although the original form of the integral should have made this clear. This means that the above transform is valid even when $x \gt \sigma^2$. This messed me up for a long time when I was checking the result. – Ron Gordon Mar 13 '15 at 13:07
  • Thank you very much. I'll take my time to go through now. Apologies for the delayed response – arvindrajan92 Mar 16 '15 at 01:37