Integral of $$$\frac{\sqrt{2} e^{- \frac{x^{2}}{2}}}{2 \sqrt{\pi}}$$$

Find $$$\int \frac{\sqrt{2} e^{- \frac{x^{2}}{2}}}{2 \sqrt{\pi}}\, dx$$$.

Apply the constant multiple rule $$$\int c f{\left(x \right)}\, dx = c \int f{\left(x \right)}\, dx$$$ with $$$c=\frac{\sqrt{2}}{2 \sqrt{\pi}}$$$ and $$$f{\left(x \right)} = e^{- \frac{x^{2}}{2}}$$$:

$${\color{red}{\int{\frac{\sqrt{2} e^{- \frac{x^{2}}{2}}}{2 \sqrt{\pi}} d x}}} = {\color{red}{\left(\frac{\sqrt{2} \int{e^{- \frac{x^{2}}{2}} d x}}{2 \sqrt{\pi}}\right)}}$$

Let $$$u=\frac{\sqrt{2} x}{2}$$$.

Then $$$du=\left(\frac{\sqrt{2} x}{2}\right)^{\prime }dx = \frac{\sqrt{2}}{2} dx$$$ (steps can be seen »), and we have that $$$dx = \sqrt{2} du$$$.

The integral can be rewritten as

$$\frac{\sqrt{2} {\color{red}{\int{e^{- \frac{x^{2}}{2}} d x}}}}{2 \sqrt{\pi}} = \frac{\sqrt{2} {\color{red}{\int{\sqrt{2} e^{- u^{2}} d u}}}}{2 \sqrt{\pi}}$$

Apply the constant multiple rule $$$\int c f{\left(u \right)}\, du = c \int f{\left(u \right)}\, du$$$ with $$$c=\sqrt{2}$$$ and $$$f{\left(u \right)} = e^{- u^{2}}$$$:

$$\frac{\sqrt{2} {\color{red}{\int{\sqrt{2} e^{- u^{2}} d u}}}}{2 \sqrt{\pi}} = \frac{\sqrt{2} {\color{red}{\sqrt{2} \int{e^{- u^{2}} d u}}}}{2 \sqrt{\pi}}$$

This integral (Error Function) does not have a closed form:

$$\frac{{\color{red}{\int{e^{- u^{2}} d u}}}}{\sqrt{\pi}} = \frac{{\color{red}{\left(\frac{\sqrt{\pi} \operatorname{erf}{\left(u \right)}}{2}\right)}}}{\sqrt{\pi}}$$

Recall that $$$u=\frac{\sqrt{2} x}{2}$$$:

$$\frac{\operatorname{erf}{\left({\color{red}{u}} \right)}}{2} = \frac{\operatorname{erf}{\left({\color{red}{\left(\frac{\sqrt{2} x}{2}\right)}} \right)}}{2}$$

Therefore,

$$\int{\frac{\sqrt{2} e^{- \frac{x^{2}}{2}}}{2 \sqrt{\pi}} d x} = \frac{\operatorname{erf}{\left(\frac{\sqrt{2} x}{2} \right)}}{2}$$

Add the constant of integration:

$$\int{\frac{\sqrt{2} e^{- \frac{x^{2}}{2}}}{2 \sqrt{\pi}} d x} = \frac{\operatorname{erf}{\left(\frac{\sqrt{2} x}{2} \right)}}{2}+C$$

$$$\int \frac{\sqrt{2} e^{- \frac{x^{2}}{2}}}{2 \sqrt{\pi}}\, dx = \frac{\operatorname{erf}{\left(\frac{\sqrt{2} x}{2} \right)}}{2} + C$$$A