Integrating the density function of Brownian motion
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I am going to find the integral
![](https://www.mathworks.com/matlabcentral/answers/uploaded_files/1644421/image.png)
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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Torsten
2024 年 3 月 17 日
編集済み: Torsten
2024 年 3 月 17 日
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)
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Torsten
2024 年 3 月 17 日
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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