正态分布概率密度函数的积分
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\begin{aligned} I = \int _{- \infty} ^{\infty} \frac{1}{\sqrt{2 \pi} \sigma} e ^ {- \frac{(x - \mu) ^2}{2 \sigma ^ 2}} dx \end{aligned}
I=∫−∞∞2πσ1e−2σ2(x−μ)2dx
指数中包含二次项,无法直接求解,需要做一些变换。
夹逼定理
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\begin{aligned} \lim_{x \to x_0}F(x) = \lim_{x \to x_0}G(x) = A \end{aligned}
x→x0limF(x)=x→x0limG(x)=A
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\begin{aligned} \lim_{x \to x_0}f(x) = A \end{aligned}
x→x0limf(x)=A
二重积分的换元法
∬ x 2 + y 2 ≤ R 2 f ( x , y ) d x d y = ∫ 0 R ∫ 0 2 π f ( r s i n θ , r c o s θ ) r d r d θ \begin{aligned} &\iint_{x^2+y^2 \le R^2} f(x, y)dxdy \\ = &\int_0^R \int_0^{2\pi} f(rsin\theta, rcos\theta) \ r \ dr d\theta \end{aligned} =∬x2+y2≤R2f(x,y)dxdy∫0R∫02πf(rsinθ,rcosθ) r drdθ
正态分布概率密度函数的积分
(1) 令 y = x − μ 2 σ \begin{aligned} y = \frac{x - \mu}{\sqrt{2} \sigma} \end{aligned} y=2σx−μ, 得到 I = 1 π ∫ − ∞ ∞ e − y 2 d y \begin{aligned} I = \frac {1}{\sqrt{\pi}} \int _{-\infty} ^{\infty} e ^ {- y^2} dy \end{aligned} I=π1∫−∞∞e−y2dy
(2) 令 U = ∫ − ∞ ∞ e − y 2 d y \begin{aligned} U = \int _{-\infty} ^{\infty} e ^ {- y^2} dy \end{aligned} U=∫−∞∞e−y2dy, 则 I = 1 π U \begin{aligned} I = \frac {1}{\sqrt{\pi}} U \end{aligned} I=π1U
(3) U = lim R → ∞ ∫ − R R e − y 2 d y \begin{aligned} U = \lim_{R \to \infty} \int _{-R} ^{R} e ^ {- y^2} dy \end{aligned} U=R→∞lim∫−RRe−y2dy
(4) 转换为正方形区域内的二重积分
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\begin{aligned} U^2 &= \lim_{R \to \infty} \int _{-R} ^{R} e ^ {- x^2} dx \int _{-R} ^{R} e ^ {- y^2} dy \\ &= \lim_{R \to \infty} \int _{-R} ^{R}\int _{-R} ^{R} e ^ {- x^2-y^2} dx dy \\ &= \lim_{R \to \infty} \iint _{-R \le x \le R, -R \le y \le R} e ^ {- x^2-y^2} dx dy \end{aligned}
U2=R→∞lim∫−RRe−x2dx∫−RRe−y2dy=R→∞lim∫−RR∫−RRe−x2−y2dxdy=R→∞lim∬−R≤x≤R,−R≤y≤Re−x2−y2dxdy
(5) 内切圆积分
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\begin{aligned} U1 &= \lim_{R \to \infty} \iint _{x^2+y^2 \le R^2} e ^ {- x^2-y^2} dx dy \\ &= \lim_{R \to \infty} \int _{0}^{R} \int_{0}^{2 \pi} e ^ {- r^2} r \ dr d\theta \\ &= \int_{0}^{2 \pi} d\theta \times \lim_{R \to \infty} \int _{0}^{R} e ^ {- r^2} r \ dr \\ &= 2 \pi \int _{0}^{\infty} e ^ {- r^2} r \ dr \\ &= 2 \pi (- \frac{1}{2} e ^ {- r^2} |_0^\infty) \\ &= \pi \end{aligned}
U1=R→∞lim∬x2+y2≤R2e−x2−y2dxdy=R→∞lim∫0R∫02πe−r2r drdθ=∫02πdθ×R→∞lim∫0Re−r2r dr=2π∫0∞e−r2r dr=2π(−21e−r2∣0∞)=π
(5) 外接圆积分
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\begin{aligned} U2 &= \lim_{R \to \infty} \iint _{x^2+y^2 \le 2R^2} e ^ {- x^2-y^2} dx dy \\ &= \lim_{R \to \infty} \int _{0}^{\sqrt{2}R} \int_{0}^{2 \pi} e ^ {- r^2} r \ dr d\theta \\ &= \int_{0}^{2 \pi} d\theta \times \lim_{R \to \infty} \int _{0}^{\sqrt{2}R} e ^ {- r^2} r \ dr \\ &= 2 \pi \int _{0}^{\infty} e ^ {- r^2} r \ dr \\ &= 2 \pi (- \frac{1}{2} e ^ {- r^2} |_0^\infty) \\ &= \pi \end{aligned}
U2=R→∞lim∬x2+y2≤2R2e−x2−y2dxdy=R→∞lim∫02R∫02πe−r2r drdθ=∫02πdθ×R→∞lim∫02Re−r2r dr=2π∫0∞e−r2r dr=2π(−21e−r2∣0∞)=π
(6)
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\begin{aligned} &\iint _{x^2+y^2 \le R^2} e ^ {- x^2-y^2} dx dy \\ \lt &\iint _{-R \le x \le R, -R \le y \le R} e ^ {- x^2-y^2} dx dy \\ \lt &\iint _{x^2+y^2 \le 2R^2} e ^ {- x^2-y^2} dx dy \end{aligned}
<<∬x2+y2≤R2e−x2−y2dxdy∬−R≤x≤R,−R≤y≤Re−x2−y2dxdy∬x2+y2≤2R2e−x2−y2dxdy
夹逼定理可得
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U2=U1=U2=π
因此
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\begin{aligned}U=\sqrt{\pi}, I = \frac {1}{\sqrt{\pi}} U = 1 \end{aligned}
U=π,I=π1U=1