 Solution

Let $B=|b|>0$. For $a>0$, integrate $e^{iaz}/(z^2+B^2)$ over the upper semicircle. Jordan's lemma removes the arc, and the residue theorem at $z=iB$ givesTaking the real part and using evenness in both $x$ and $a$ yieldsThe case $a=0$ follows directly from an inverse tangent primitive. The complex exponential is essential on the contour: the cosine alone has a growing exponential component.

For $a>0$, differentiation under the integral sign gives $-I_1^{\prime }(a)={\int }_0^{\infty }x\sin (ax)/(x^2+B^2)dx$. This derivative is a conditionally convergent improper integral; the Dirichlet test makes its tails uniform on compact subintervals of $a>0$, justifying the differentiation. Setting $a=1$ givesFinally let $J(a)={\int }_0^{\infty }\sin (ax)/[x(x^2+B^2)]dx$. Its differentiated integrand is absolutely integrable, so $J^{\prime }(a)=I_1(a)$ and $J(0)=0$. HenceIf $b=0$, $I_1$ and $I_3$ diverge at the origin, whereas $I_2={\int }_0^{\infty }\sin x/xdx=\pi /2$ is the corresponding Dirichlet integral.