Past exam of the options II course of the University of Oxford / 2006 / D / 4 / b

The theorem givesIntegration by parts has zero boundary term: the sine vanishes at zero and the Gaussian tends to zero at infinity. Hence $F^{\prime }(t)=-2t{\int }_0^{\infty }{e}^{-x^2}\cos (2xt)dx=-2tF(t)$.

The same Gaussian majorant and dominated convergence give continuity at zero, where the allowed Gaussian integral gives $F(0)=\sqrt{\pi }/2$. The differential equation implies $(e^{t^2}F(t){)}^{\prime }=0$; continuity at zero fixes that constant. Thus