Past exam of the mathematics course of the University of Cambridge / 2017 / ii / Paper 2 / 24J / c / Solution

First ${\int }_{\mathbb{R}}{e}^{-x^2/2}dx=\sqrt{2\pi }$: square the positive integral and use polar coordinates to obtain $2\pi {\int }_0^{\infty }r{e}^{-r^2/2}dr=2\pi$. Scaling therefore normalizes the one-dimensional Gaussian function $g_t$.

Let $I(\xi )={\int }_{\mathbb{R}}(2\pi t{)}^{-1/2}{e}^{-x^2/(2t)}{e}^{-i\xi x}dx$. Differentiation under the integral is justified by the integrable majorant $|x|g_t(x)$. Since $g_t^{\prime }(x)=-x{g}_t(x)/t$, integration by parts, with zero endpoint terms, gives $I^{\prime }(\xi )=-t\xi I(\xi )$. With $I(0)=1$, this yields $I(\xi )=e^{-t{\xi }^2/2}$. Multiplication of the one-dimensional integrals givesApplying the same computation with reciprocal scale $1/t$ evaluates its inverse integral:For $f\in L^1$, Fubini's theorem gives $\widehat{f\ast g_t}=\hat{f}{e}^{-t|\xi {|}^2/2}$, which is integrable because $\hat{f}$ is bounded. Its inverse integral isAbsolute integrability of $|f(y)|e^{-t|\xi {|}^2/2}$ justifies this second application of Fubini's theorem. Thus Fourier inversion holds for every Gaussian convolution, in fact pointwise for this continuous representative.