2018-07

Integrating Functions of Random Variables

Hugo Hernandez
ForsChem Research, 050030 Medellin, Colombia
hugo.hernandez@forschem.org

doi: 10.13140/RG.2.2.23660.87680

Abstract

Random variables are present everywhere. They emerge as soon as any piece of information
becomes missing. The mathematical behavior of random variable is different to the behavior of
familiar deterministic variables. However, the deterministic variables can be regarded as a
particular case of random variables when they have no variation. Thus, it is expected that the
mathematics of random variables should be consistent with the mathematics of deterministic
variables in the limit of zero variance. In this report, the mathematics of integration of
functions of random variables is considered. Three different cases are identified, depending on
the nature of the function to be integrated with respect to the integration variable. In all cases,
there is consistency with the conventional deterministic integration. Different examples are
included for each case, in order to illustrate the integration of functions of random variables.

Keywords

Calculus, Finite differences, Integration, Probability density functions, Random variables,

Standard random variables

1. Introduction

In a previous report [1], it was shown that the derivatives of random variables (or functions of
random variables) are also random variables. The purpose of the present report is to explore
the behavior of the integrals of functions of random variables, so that they can be compared to
conventional deterministic integrals.

Let us consider the general non-linear function of multiple random variables given by:

( )
(1.1)

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 Integrating Functions of Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

where is any arbitrary independent random variable, and [ ] is an -

dimensional vector of arbitrary independent random variables . Since will be integrated
with respect to the random variable , is presented as distinguishable from the random
vector .

Thus, the definite integral of the non-linear function of random variables, from to is:

∫ ∫ ( ) ( ) ( )

(1.2)

where indicates the corresponding integration function of . As expected, the derivative of

is:
( )
( )
(1.3)

The non-linear function presented in Eq. (1.1) can be expressed as the linear combination of
three different functions:

( ) ( ) ( ) ( )
(1.4)

where represents a function depending on but not on , represents a function of

but independent of , and is a function depending simultaneously on and . Thus, the
integral in Eq. (1.2) becomes:

∫ ∫ ( ) ∫ ( ) ∫ ( )

(1.5)

Three different situations can be identified in Eq. (1.5), namely: 1) the integral of a function
depending only on the integration variable, but not on any other random variable; 2) the
integral of a function of random variables independent on the integration variable; and 3) the
integral of a function of the integration variable involving other independent random variables.
Each of these cases will be considered separately in the following sections, along with some
representative examples.

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 Integrating Functions of Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

2. Integrals of random functions depending only on the integration variable

Let us consider the following integral:

∫ ( )

(2.1)

where is a function which only depends on and is not affected by any other random
variable.

Let us now assume that can be expressed as the derivative of another function with
respect to , as follows:

(2.2)
Thus, Eq. (2.1) can be expressed as:

( )
( )
∫ ∫ ( ) ( )
( )
(2.3)
In this case, the conventional rules of integration used for deterministic variables [2] also apply.

The function is a random variable whose probability density function can be determined
from the change of variable theorem [3] as:

( )
( ) ∑ ( ( )) | |

(2.4)

where is the inverse function of , and represents the -th solution out of possible
solutions for the inverse.

If the inverse cannot be obtained analytically, the probability density function can be
determined numerically considering monotonic segments of , using the following procedure:

1. Identify monotonic segments for the range of possible values of considered. This can
be done by identifying the critical points where the sign of the derivative changes
( ). Each critical point will correspond to the beginning of a new monotonic

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 Integrating Functions of Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

segment. If the critical point is a saddle point ( ), it can be neglected as the

function remains monotonic for that segment.
2. Discretize the segment considering a step increment . For each value , calculate
( ) and the corresponding probability density function as (in the case of forward
differences):
( )
( ( ))
| ( ) ( )|
(2.5)
Other types of finite differences can be used.
3. Obtain suitable interpolation functions (e.g. polynomial functions) for describing the
probability density function obtained as a function of for each segment. Beyond
the range of values of , set .
4. The probability density function of the integral will be the sum of the interpolation
functions for all monotonic segments in the integration range.

Alternatively, it is also possible to estimate the probability density function as the derivative of
the cumulative probability distribution obtained from the discrete set of values ( ). This is
particularly useful for multivariate random functions whose inverse cannot be easily expressed
as an explicit function. The probability density function will probably be noisy because the
cumulative probability distribution is a random variable, and their derivatives amplify noise.[1]

The expected value and variance of are determined respectively by:

( ) ∫ ( ) ( )

(2.6)

( ) ∫ ( ) ( ) [ ( )]

(2.7)
where represents a particular realization of the random variable .

Let us now consider some particular examples.

Example 2.1. ( )

In this case, one possible function is:

(2.8)

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 Integrating Functions of Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Solving the integral results in:

(2.9)
Please notice that in this case ( ) ∫ .

If is a standard normal random variable ( ) [4], the expected value and variance of
will be:

( ) ( ) ( )

(2.10)

( ) ( ) ( )

(2.11)
and, since from Eq. (2.8):
√
(2.12)
its probability density function is given by:

(√ ) ( √ )
( )
√ √
(2.13)
The resulting probability density function is presented in Figure 1.

Figure 1. Probability density function for ∫

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 Integrating Functions of Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Example 2.2. ( )

For this example, one possible function is:

( )
(2.14)
The solution of the integral (2.3) is:

(2.15)
Therefore,

( ) ( ) ∫

(2.16)

Since the random function is identical to , all their properties (expected value, variance,
probability density function) are also identical.

Example 2.3. Orange juice volume served

Figure 2. Cups used at the cafeteria for serving orange juice. is the diameter of the cup
at the bottom. is the diameter of the cup at the top. is the total cup height. is the
inclination angle of the cup. is the level of orange juice served in the cup.

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 Integrating Functions of Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

A group of University students decided to investigate the consumption of orange juice at the
University cafeteria. They realized that the amount served by students from the dispenser was
a random variable. Considering the geometry of the cups available at the cafeteria, depicted in
Figure 2, they decided to measure the liquid level served by each student.

The dimensions measured for a cup were the following: , ,

, . The height of juice served each time at the cafeteria was measured
for two weeks. After analyzing the results, the students concluded that the height of juice can
be approximately represented by a normal distribution with a mean value and
standard deviation .

Thus, the random volume of juice per serving determined by the students was:

( ( )) ( )
∫ ( ) ∫ ∫ ( )

( )
∫ ∫

∫ ( )

( )
( )

(2.17)
Since the level is a normal random variable that can be expressed as

(2.18)
where is a type I standard normal random variable, then:

( )
( ( ) )

( ( ) )

( )( ( ) )

( )

(2.19)

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 Integrating Functions of Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

The expected volume of juice per serving is:

( )
( ) ( ( ) )

( )( ( ) )

(2.20)
And its variance and standard deviation are:

( ) ( ) ( ( ) )

( ) ( ) ( ( ) )

( ) ( )

( ) ( ( ) ) ( )

(2.21)
√ ( )
(2.22)

The probability density function of the volume can be determined numerically, first by
determining the critical points using:

( ( ) )

( )( ( ) )

( )

(2.23)
The only resulting critical point is (corresponding to ):

( )

( )
(2.24)

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 Integrating Functions of Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Since negative liquid levels are not physically possible in this case, the function will be treated
as monotonic. Furthermore, for the numerical determination of the probability density
function, only the range [ ] will be considered (representing 99.9999% of the possible
cases).

The behavior of the volume as a function of the standard random variable is presented in
Figure 3, along with a linear regression of the data. An almost linear fit is observed, which is
evidence of an almost normal probability distribution of the volume. The probability density
function for the volume obtained numerically is presented in Figure 4, compared to the normal
approximation using ( ) and √ ( ) .

Figure 3. Orange juice volume served in a cup as a function of the standard normal random
variable in the range [ ]. Solid blue line: Volume calculated by Eq. (2.19). Dashed black
line: Least-squares linear fit.

Figure 4. Probability density function of the volume of orange juice served in a cup. Solid blue
line: Probability density function obtained numerically from Eq. (2.5). Dashed black line: Normal
approximation using a mean value of (Eq. 2.20) and a standard deviation of
(Eq. 2.22).

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 Integrating Functions of Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Example 2.4. Orange juice volume consumption

The students form the previous Example 2.3 realized that the volume of orange juice served at
the cafeteria was not completely consumed. Thus, they decided to also measure the remaining
level of juice left in the cups during two weeks. The students found that the final level of juice
can be approximately described by an exponential distribution with a mean value of .
Thus, the random volume of orange juice consumed per serving is given by:

∫ ( )

( )
( ) ( )

( ) ( )

(2.25)

where is the initial normal random level of juice, and is the

final exponential random level of juice in the cup. is a type I standard normal random
variable, and is a type II standard exponential random variable with ( ) and
( ) [4]. Since is exponential [5], then .

Eq. (2.25) can be expressed as:

( )
( )
( )

( ) (

)
(2.26)
with an expected value of

( )
( ) ( ) ( )

( ) ( )

(2.27)
and variance and standard deviation:

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 Integrating Functions of Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

( )
( ) ( ) [ ( ) ( ) ( )

( ) ( )

( )( )

( ) ( )]

(2.28)
√ ( )
(2.29)

The cumulative probability distribution for the volume of juice consumed per serving is
obtained numerically by discretizing the standard normal random variable in the range
[ ] with , and the standard exponential random variable in the range [ ]
with . The ranges selected covered of all possible cases. The resulting
cumulative probability distribution is presented in Figure 5, along with the corresponding
normal approximation using the expected value and standard deviation calculated previously.
It can be observed that the behavior of the volume of juice consumed can be approximated by
a normal distribution.

Figure 5. Cumulative probability distribution of the volume of orange juice consumed per
serving. Dotted blue line: Cumulative probability obtained numerically by discretization of the
standard random variables and . Solid green line: Normal approximation using a mean
value of (Eq. 2.27) and a standard deviation of (Eq. 2.29).

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 Integrating Functions of Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

3. Integrals of random functions independent of the integration variable

The second case corresponds to the following integral:

∫ ( )

(3.1)
where ( ) is completely independent of .

In order to analyze the behavior of this integral, let us express Eq. (3.1) as the limit:

⟦ ⟧

∫ ( ) ( ) ∑ ( ) ( )
⟦ ⟧

( )
⟦ ⟧
( ) ( )
⟦ ⟧
∑ ( )

( )
(3.2)
where represents the values of the random vector observed when .

It is therefore not possible to consider ( ) as a constant even though it is independent of

the particular value of . However, let us consider the definition of the average of ( ):

∑ ( )
〈 ( )〉
(3.3)

where is the number of values considered in the average. Thus, Eq. (3.2) can be expressed as:

( ) ( )
⟦ ⟧
∫ ( ) ( ⟦ ⟧〈 ( )〉)

[( ( ) ( )) ] ( )〈 ( )〉
⟦ ⟧

( )〈 ( )〉
(3.4)

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 Integrating Functions of Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Thus, the integral ∫ ( ) is approximately the range of the integration interval

( ) times the average value of (〈 ( )〉). Both and are considered random
variables. Even if both limits are known, the integral remains a random variable because the
sample average of a random variable is also a random variable. The properties of the integral,
for the most general case of random limits, are:

(∫ ( ) ) ( ( ) ( )) (〈 ( )〉)

(3.5)

(∫ ( ) ) (( ) ) (〈 ( )〉 ) ( ( ) ( )) (〈 ( )〉)

(3.6)

And its probability density function is given by:

( ) ∫ ∫ ( ) ( ) 〈 〉( )
| |

(3.7)

where ∫ ( ) , and , , and 〈 〉 represent the probability density functions

of , , and 〈 ( )〉, respectively.

Assuming that all values are also independent of each other, and that the Central Limit
Theorem [6] holds for the average, then Eq. (3.5) to (3.7) become:

(∫ ( ) ) ( ( ) ( )) ( ( ))

(3.8)

( ( ))
(∫ ( ) ) ( ) ( ( )) (( ) )
⟦ ⟧
( ) ( ( ))
(3.9)

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 Integrating Functions of Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

( ( ) ( ( )))
( ( ))| |
( ) ∫ ∫ ( ) ( )
√ ( ( ))| |

∫ ( ) ( )
( ( )) | ( ( ))|
(3.10)

The approximations presented in Eq. (3.9) and (3.10) are only valid when ( ( )) .
Otherwise, the limit terms cannot be neglected.

Example 3.1. ( )

In the first example, let us assume that the function behaves as a standard normal random
variable. Thus, the integral of will be:

∫ ( ) ∫ ( )〈 〉

(3.11)

is a random variable with the following properties:

( )
(3.12)
( ) (( ) )
⟦ ⟧
(3.13)
( )
| |
( ) ∫ ∫ ( ) ( )
√ | |

(3.14)

If and are independent of each other, and both are described by the same probability
distribution function, then the properties of the integral become:

( )
(3.15)

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 Integrating Functions of Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

( ) ( )
⟦ ⟧
(3.16)

That is, it can be concluded that as long as , the integral of an independent

standard normal random function can be considered to be constant and equal to zero. In fact,
this result can be extended to any Type I standard random variable [4].

Example 3.2. ( )

The second example refers to any arbitrary normal distribution. The integral of will be:

∫ ( ) ∫ ∫ ( ) ∫

( 〈 〉)( )
(3.17)

In this case, is a random variable with the following properties:

( ) ( ( ) ( ))
(3.18)

( ) ( ) (( ) ) ( )
⟦ ⟧
(3.19)

( ( ) )
| |
( ) ∫ ∫ ( ) ( )
√ | |

∫ ( ) ( )
| |
(3.20)

If and are independent of each other, and both are described by the same probability
distribution function, then the properties of the integral become:

( )
(3.21)

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 Integrating Functions of Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

( ) ( )( ) ( )
⟦ ⟧
(3.22)

If and are independent random variables, both described by the standard normal random
distribution, then the probability density function of the integral becomes:

( )

( ) ∫ ∫
√ √ | | | |

( )

∫
√ | | √ | |
√
(3.23)

which corresponds to a normal distribution with mean zero and standard deviation √ | |.

Example 3.3. Orange juice drinking rate

Following the previous Example 2.4, the students wanted to estimate the drinking rate of
orange juice at the University cafeteria. For that purpose, they collected the total drinking time
( ) of orange juice during two weeks. From the data collected, they found that the average
drinking time was 15 minutes with a standard deviation of 0.5 minutes.

The total volume consumed can be expressed as a function of the drinking rate as:

∫ ( )

(3.24)

Assuming that the drinking rate is a time-independent random variable, then from Eq. (3.8):

( ) ( ) ( ( ))
(3.25)
And from Eq. (3.9):
( ( ))
( ) ( ) ( ( )) ( )
( )
⟦ ⟧
(3.26)

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 Integrating Functions of Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Thus,
( )
( ( ))
( )
(3.27)
( ) ( ) ( ( )) ( )
( ( )) ⟦ ⟧
( ) ( )

(3.28)
And the corresponding standard deviation is:

( ( )) √
√
(3.29)

This result indicates that the variance (and standard deviation) of the drinking rate depends on
the timescale considered in the analysis. For instance, the variance of the drinking rate
considering a measurement frequency of (two measurements per minute, i.e. every 30
seconds) will be . Figure 6 shows the behavior of the drinking rate, measured
every 30 seconds, for a particular realization, and the volume of juice consumed assuming the
drinking rate to fluctuate normally.

Figure 6. Example of consumption of a cup of orange juice at the cafeteria. Solid green line:
Average drinking rate measured every 30 seconds. Dashed blue line: Total volume of juice
consumed.

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 Integrating Functions of Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

4. Integrals of random functions depending on the integration variable and on

additional independent random variables

The final case corresponds to the integral of a function combining both the integration variable
and additional independent random variables:

∫ ( )

(4.1)

where ( ) cannot be represented by additive effects. However, let us consider first

that ( ) can be expressed as the following separate effects:

( ) ( ) ( )
(4.2)
Eq. (4.1) now becomes:

∫ ( ) ( )

(4.3)
Representing the integral by a sum results in:

∫ ( ) ( )

⟦ ⟧

( ) ( ) ∑ ( ) ( ) ( ) ( )
⟦ ⟧
( )
⟦ ⟧
( ) ( ) ( ) ( )
⟦ ⟧
∑ ( ) ( )
( )
(4.4)

Assuming that all values are also independent of each other, the expected value of the
integral becomes:

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 Integrating Functions of Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

(∫ ( ) ( ) )

⟦ ⟧
( ( )) ( ( ))
( ( )) ∑ ( ( ))

( )

( ( )) (∫ ( ) )

(4.5)

Analogously, the variance of the integral can be expressed as:

(∫ ( ) ( ) )

( ( ))
(∫ ( ) ) ( ( )) (( ∫ ( ) ) )
⟦ ⟧
(4.6)
With a probability density function given by:

( ( ( ) ( )) ( ( )))
( ( ))| ( ) ( )|
( ) ∫ ∫ ( ) ( )
√ ( ( ))| ( ) ( )|

(4.7)

Please notice that these properties are equivalent to the properties of the function
〈 ( )〉 ∫ ( ) . Thus Eq. (4.3) can be considered as:

∫ ( ) ( ) 〈 ( )〉 ∫ ( )

(4.8)

Now, any other function ( ) which cannot be separated either as the sum or the
product of two separated effects of and , can be approximated by the following infinite
series expansion:

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 Integrating Functions of Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

( ) ∑ ∑ ∑ ∑

(4.9)

As a particular case, Eq. (4.9) can be regarded as a generalization of Maclaurin’s series

expansion for a multivariate function, where the coefficients correspond to partial derivatives
evaluated at :

( )

(4.10)

If the series expansion needs to be done around a non-zero point, , , then the
following transformations can be considered: , , resulting in the
transformed function:

( ) ( )

∑ ∑ ∑ ∑

(4.11)
where:

( )

(4.12)

Eq. (4.9) can be rearranged to yield:

( ) ∑ ∑ ∑ ∑ ∑ ( )

(4.13)
Therefore, the integral (4.1) becomes:

∫ ( ) ∫ ∑ ( ) ∑ ∫ ( )

(4.14)
with the following properties:

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 Integrating Functions of Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

( ) ( )
(∫ ( ) ) ∑ ( ( )) ( )

(4.15)

(∫ ( ) )

( ) ( )
(( ∑ ∫ ( ) ) ) (∑ ( ( )) ( ))

(4.16)
where

(∑ ∫ ( ) )

∑ (∫ ( ) ) ∑ ∑ (∫ ( ) ∫ ( ) )

(4.17)

Example 4.1. Orange juice consumption in random cups

Considering the Example 2.4, one of the students realized that the cup dimensions were not
exactly the same for all the cups used in the cafeteria. They measured a large sample of cups
from the cafeteria and found that the bottom diameter of the cup was a normal random
variable given by:

(4.18)

where , , and is a standard normal random variable.

On the other hand, they found that the inclination of the cup was also a normal random
variable, independent of , given by:

(4.19)

where ( ), ( ), and is a standard normal random

variable.

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 Integrating Functions of Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

The corrected volume consumption is then:

∫ ( ) ∫ ( )

∫ ( ( ) ) ∫

∫ ( ) ∫ ( )

〈 〉( ) 〈 〉〈 ( )〉( )

〈 ( )〉( )
(4.20)
with an expected value of:

( ) ( )( ( ) ( )) ( ) ( ( )) ( ( ) ( ))

( ( )) ( ( ) ( ))

( )( ) ( )( )

( ( ) )( )
(4.21)
and variance:

( ) ( ) ( ) ( )

( ) ( )( ( ) )

( ) ( ( ) ) ( ( )

) ( ) ( ) ( )( )

( )( ( ) )(
)

( )( ( ) )(
) ( )
(4.22)
√ ( )
(4.23)

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 Integrating Functions of Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Example 4.2. Average energy of a molecular system at a randomly fluctuating temperature

The energy of a certain molecular system is assumed to follow Boltzmann’s exponential

distribution. The average energy of the system is given by:

∫
〈 〉
∫
(4.24)

where is Boltzmann’s constant and is the temperature of the

system. For this particular example, the temperature is a normal random variable:

(4.25)
where , , and is a standard normal random variable.

The calculation of the average energy of the system involves two random integrals, which can
be solved using series expansions as follows:

( ) ( ) ( )
∫ ∫ ∑ ∑ ∫ ∑ 〈 〉

(4.26)
where . On the other hand, can be expressed as a Maclaurin series expansion
as follows:

( ) ( )
∑( ) ∑( ) ( )
( ) ( )

( ( )( ) )

(4.27)
Higher order terms are dropped since . The average value of , for is
therefore:

〈 〉 ( ) ( ( )( ) )

(4.28)
Thus, Eq. (4.26) can be expressed as:

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 Integrating Functions of Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

( )
∫ ∑ ( ( )( ) )
( )

( ) ( )
∑ ∑ ( )( )
( ) ( )

( ) ( )
∑ ( ) ∑
( ) ( )

( ) ( )
(∑ ) ( ) ∑
( )

( ) ( )

(4.29)
Similarly, for the integral at the numerator:

( ) ( ) ( )
∫ ∑ 〈 〉 ∑ ∑( ) ( )

( ) ( )
( ) (∑ ∑ )
( ) ( )

( )
( ) ( ) (∑ ( ) ∑( ) )
( ) ( )

( ) (( )( ) ( ))

( )
( ) ( ) (( ) ∑( ) )
( )

( ) ( ) ( )

(4.30)
The previous result is obtained considering that:

( )
∑( )
( )
(4.31)
The behavior of such series is presented graphically in Figure 7.

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 Integrating Functions of Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

( )
Figure 7. Graphical description of the behavior of the series ∑ ( ) ( )
as a
function of .

Thus, the average energy of the system is:

( ) ( ( ))
〈 〉 ( ( ))

(4.32)

For the particular case considered, it is:

〈 〉
(4.33)

It means that a 1% standard deviation in the temperature causes an increase of only 0.02% in the
average temperature of the system.

5. Conclusion

Deterministic variables are a particular case of random variables, in the limit when their
variance (and standard deviation) tends to zero. Similarly, all mathematical operations
involving deterministic variables are just a particular result of the mathematics of random
variables. In this report, the integration of function of random variables was presented,
considering three general cases: 1) Integration of functions depending only on the integration
random variable, where it was found that the same rules of integration of deterministic
variables apply. 2) Integration of functions of random variables independent of the integration

19/07/2018 ForsChem Research Reports 2018-07 (25 / 26)

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 Integrating Functions of Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

variable, where it was found that the result depends on the average value of the independent
random function. 3) Integration of functions of random variables involving independent
random variables, as well as the integration variable, where it was found that a power series
generalization can be used for integrating any arbitrary function. The results presented provide
a general description of the calculus of random variables, beyond the conventional Itô
calculus,[7] which is limited to time-independent random variables (equivalent to the second
case discussed). The methods used, as well as the conclusions obtained, can be extended to
multiple integrals.

Acknowledgments

This research did not receive any specific grant from funding agencies in the public,
commercial, or not-for-profit sectors.

References

[1] Hernandez, H. (2018). Probability Density Functions of Derivatives of Random Variables.

ForsChem Research Reports 2018-06. doi: 10.13140/RG.2.2.23850.11204.

[2] Stewart, J. (2013). Single Variable Essential Calculus: Early Transcendentals. 2nd Ed. Belmont:
Brooks/Cole, Cengage Learning.

[3] Hernandez, H. (2017). Multivariate Probability Theory: Determination of Probability Density

Functions. ForsChem Research Reports 2017-13. doi: 10.13140/RG.2.2.28214.60481.

[4] Hernandez, H. (2018). Multidimensional Randomness, Standard Random Variables and

Variance Algebra. ForsChem Research Reports 2018-02. doi: 10.13140/RG.2.2.11902.48966.

[5] Hernandez, H. (2018). Parameter Identification using Standard Transformations: An

Alternative Hypothesis Testing Method. ForsChem Research Reports 2018-04. doi:
10.13140/RG.2.2.14895.02728.

[6] Canavos, G. C. (1984). Applied probability and statistical methods. Englewood Cliffs:
Prentice Hall.

[7] Itô, K. (1984). Foundations of stochastic differential equations in infinite dimensional

spaces. Philadelphia: Siam.

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