Thanks Mr. walter for your answer. If I take f= int(exp(-p)*phi(c*sqrt(p)+d), p, u, inf), what will the solution? I have tried as above but couldn't get the solution.
When I use the Maple programming package, and tell it to expand the integral (which splits the erf), the Maple is able to integrate the split in terms of a limit as p approaches infinity. If you then ask to simplify under the assumption that all of the variables involved are real-valued, then MATLAB produces a closed-form output,