A proof for an important integral in Gauss distribution formula

The definite integral of ex2 over the entire real line does have a beautiful result involving π:

ex2dx=π

Consider the square of the integral: Let I=ex2dx, thenI2=ex2dxex2dx

Use Fubini’s theorem to convert to a double integral: I2=ex2dxey2dy

Simplify and convert to polar coordinates: I2=e(x2+y2)dxdy

Now, convert to polar coordinates:

x=rcosθy=rsinθdx.dy=r.dr.dθ

So I2=02π0er2rdrdθ

Evaluate the double integral: First, evaluate the inner integral with respect to r. We can use a simple substitution: let u=r2,du=2rdr

0er2rdr=120eudu=12[eu]0=12

Now, substitute this back into the double integral:

I2=02π12dθ=12[θ]02π=π

Take the square root I2=πI=π. So we have proven that:

ex2dx=π

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