Integrating the density function of Brownian motion

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ho man
ho man 2024-3-17
评论： Torsten 2024-3-17
I am going to find the integral
for some nice enough function f. The integrand has a very strong singularity at t=0. the function integral2 gives me warning so often. Do we have some good function for an ancurate answer?

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回答（1 个）

Torsten
Torsten 2024-3-17
编辑：Torsten 2024-3-17
Ran in:
Maybe it helps to resolve the integration with respect to t:
syms t T real positive
syms x real
g = 1/sqrt(t)*exp(-x^2/t);
int(g,t,0,T)
ans = 
  2 个评论
ho man
ho man 2024-3-17
编辑：ho man 2024-3-17
I am so sorry to forget to make f depends on t also, which is f(x,t) instead of f(x), is there any solution for this?
Torsten
Torsten 2024-3-17
Ok, after you changed f(x) to f(x,t), the answer is no longer relevant (at least if f cannot be split in f1(t)*f2(x)).

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