The Cauchy-Schlomilch transformation
The Cauchy-Schlömilch transformation states that for a function $f$ and $a, \, b > 0$, the integral of $f(x^{2})$ and $af((ax-bx^{-1})^{2}$ over the interval $[0, \infty)$ are the same. This elementary result is used to evaluate many non-elementary definite integrals, most of which cannot be obtained by symbolic packages. Applications to probability distributions is also given.
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