I have been looking for an explicit solution to the following Laplace transform for α,μ,β>0
βαΓ(α)L{tα−1t−μ}(β)=βαΓ(α)PV∫∞0tα−1t−μe−βtdt.
Notice that this is equivalent to E((X−μ)−1) for X∼Gamma(α,β). I attacked this problem by substituting x=t−μ and then writing
limϵ→0+βαΓ(α)e−βμ(∫0−μ+∫∞0)xϵ−1(x+μ)α−1e−βxdx.
After evaluating these integrals, I took the limit and and then dropped the residue term −fX(0)πi resulting from the pole when ϵ=0. This took me about six pages to do and involves some nasty derivatives of hypergoemetric functions w.r.t. parameters, meijer G functions, residue expansions, etc. The solution I got was
βαΓ(α)L{tα−1t−μ}(β)=βe−βμℜ{Eα(−βμ)},
where Eν(z) is the generalized exponential integral. I have explicit solution for the real part which must be separated into cases for integer and non-integer α. Could this solution have been easily reached with contour integrals? After ending up at such a simple solution, I feel like I solved this the hard way and there is a much easier way to do it.
Answer
This may be somewhat simpler. Let 0<α<1,Imμ≠0,0<β (so it may be a bit misleading to refer to the integral as the Laplace transform). We have
∫∞0ddβ(eμβtα−1t−μe−βt)dt=−Γ(α)β−αeμβ,∫∞0tα−1t−μe−βtdt=Γ(α)(−μ)α−1e−μβΓ(1−α,−μβ)⏟=I(α,μ,β)+C(α,μ).
The integral and I(α,μ,β) are continuous at β=0, and
∫∞0tα−1t−μdt=π(−μ)α−1cscπα=I(α,μ,0),
from which we can conclude that C(α,μ)=0.
For positive μ, the p.v. integral will be equal to I(α,μ−i0,β) plus iπ times the residue of the integrand at t=μ. Γ(a,z) is continuous from above at negative z, thus I(α,μ,β) is continuous from below: I(α,μ−i0,β)=I(α,μ,β), therefore
v.p.∫∞0tα−1t−μe−βtdt=I(α,μ,β)+iπμα−1e−μβ.
The result extends to 1≤α by analytic continuation.
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