FACTS ABOUT THE GAMMA INTEGRAL

Page gs 2011 1
A great number of tricks revolve around the integral

(t) = x e dx
t x

z
1
0


(Note as usual that x is only a dummy symbol.) This integral is called the gamma
function. Lets consider only t>0. If you make the change of variable x=
u

, then
dx =
du

, and the integral is

(t) =
1
0
u
t
t
u
e du

which is merely another form. Yet another change, working from the original, is x =v ;
then dx = dv, and the integral is

(t) =
1
0
t t v
v e dv

=
1
0
t t x
x e dx

Lets work with the form at the top of the page. You should be able to show that
(1) =1. Now well do an integration by parts, using the mnemonic

udv uv vdu =
z z


By the way, when this mnemonic is applied to a definite integral, we write
it as udv uv vdu
a
b b
a a
b
z z
= a f . The limits refer to the variable of
integration. If this variable is x, we would write this as
u x dv x u x v x v x du x
a
b x b
x a a
b
( ) ( ) ( ) ( ) ( ) ( )
z z
=
=
=
a f .

Let
u(x) =x
t-1
and dv(x) = e
- x
dx

This creates x e dx
t x

z
1
0
= u x dv x ( ) ( )
0

z
.
FACTS ABOUT THE GAMMA INTEGRAL

Page gs 2011 2

Then uv vdu
z
becomes

x e e t x dx
t x
x
x
x t
=
=

z
1
0
2
0
1
c h d i c h
( ) = +

=
=

z
x e t x e dx
t x
x
x
t x 1
0
2
0
1
c h
( )

The value of x
t-1
e
- x
at x =0 is clearly 0. The value at x = requires a
limit process, possibly as lHospitals rule. This would have the following
form:

LHospitals rule says that
( )
( )
( )
( )
lim lim
x x
f x f x
g x g x

. (In using
this rule, x can approach any value, not just . Then
lim lim lim
x
t x
x
t
x
x
d
dx
t
d
dx
x
x e
x
e
x
e

= =
1
1 1
= lim
( )
x
t
x
t x
e

1
2
= ( )lim t
x
e
x
t
x

1
2
. This final form still looks like an

ratio; however, the logic

can be applied again repeatedly until the exponent of x is below 1.
At that point, the limiting ratio is
0

, which is certainly 0.

= 0 + ( ) t x e dx
t x

z
1
2
0
= (t - 1) (t - 1)


Weve established that (1) =1 and that (t) =(t - 1) (t - 1). Therefore,

(2) =1 (1) =1
(3) =2 (2) =2
(4) =3 (3) =6
(5) =4 (4) =24


If r is an integer, (r) =(r - 1)!

It also happens that, for example, (4.2) =3.2 2.2 1.2 0.2 (0.2). A curious
result, to be shown soon, is that
1
2
a f = . A use of this is
Then
du(x) =(t - 1) x
t-2
dx v(x) =- e
- x


v(x) is simply the integral of dv(x).
FACTS ABOUT THE GAMMA INTEGRAL

Page gs 2011 3

(3.5) =2.5 1.5 0.5

Recalling that

(t) =
t t x
x e dx

z
1
0


we can certainly write

() =

x e dx
x

z
1
0


If follows that we could use as a probability density the function

f(x) =
1
0
1
( )
( )

x e x
x
> I

We will call this the gamma probability law with parameters and . There are other
notational schemes; it is more common to see this with the roles of and exchanged.



Now about that last detail,
1
2
a f = . Start with

1
2
0
1
2
a f =

z
x e dx
x


and make change x = y
2
. Then dx =2y dy and

1
2
2
0
1
2
2
2 a f c h
=

z
y e ydy
y
= 2
2
0
e dy
y

z



Now make the change to polar coordinates. This change is

Lets write the square of this, once with x as the variable and once with y as the variable:

2
1
2
0 0
4
2 2
a f =
R
S
T
U
V
W
R
S
T
U
V
W

z z
e dy e dx
y x
= 4
2 2
0 0
e dxdy
x y +

z z
d i

FACTS ABOUT THE GAMMA INTEGRAL

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x r
y r
=
=
R
S
T
cos
sin

with, of course, dx dy = rdrd. The set { (x, y)0 <x <, 0 <y < } is mapped into
the set { (r, )0 <r <, 0 < <
2

}.

Our integral is now

( )
2 2
2 2
2
1
2
0 0 0 0
4 4
r r
e r dr d d r e dr



= =



The integral is certainly
2

. As for the r integral, use the change of variable s =r

2
, so
that ds =2rdr, leading to

r e dr e ds e
r s s
s
s

=
=

= = =
z z
2
1
2
1
2
0 0 0
1
2
c h



Thus, the whole calculation comes to

2
1
2
4
2
1
2
a f = =

The desired conclusion follows immediately.