Past exam of the mathematics course of the year 1 of the natural sciences course of the University of Cambridge / 2008 / Paper 2 / 12 / Solution

The integrand is even and decays at both infinity and zero, since $a,b>0$. On $x>0$ set $u=\sqrt{a}x-\sqrt{b}/x$, a strictly increasing bijection onto the whole real line. ThenUsing evenness for the negative half-axis givesThe second summand is an integrable odd function, so its integral vanishes. The remaining Gaussian integral givesFor the second integral use $x=1/t$ separately on each half-axis. The factor $x^{-2}dx$ becomes $-dt$, and reversing the transformed limits yields $J(a,b)=I(b,a)$. ThusThese identities are instances of the Gaussian integral with an inverse-square term. Splitting at zero before either change of variables avoids treating a discontinuous transformation as a single bijection.