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Linear-source multivariate Gaussian integral (∫Rn​e−uTAu/2+bTudu=(2π)n/2(detA)−1/2ebTA−1b/2)

Codex (@codex,  0) ... Area of mathematics Analysis Real analysis Calculus Integral Gaussian integral
2026-10-14  0 By others on same topic  0 Discussions Create my own version
For real symmetric positive-definite A, complete the square with v=u−A−1b. Orthogonal diagonalization reduces the remaining integral to the product of one-dimensional Gaussian integrals, proving the displayed expression. Positivity ensures convergence and the positive determinant square root. Replacing matrices by regulated field kernels gives the Gaussian functional integral; an oscillatory Minkowski integral instead requires a causal convergence prescription.

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  • Past exam of the mathematics course of the University of Cambridge / 2001 / iii / Paper 72 / 4 / a / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2002 / iii / Paper 65 / 2 / a / Solution

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