# Change of variable in integral of product of exponential and gaussian functions

 P: 8 I have the integral $\int_{-\infty}^{\infty}dx \int_{-\infty}^{\infty}dy e^{-\xi \vert x-y\vert}e^{-x^2}e^{-y^2}$ where $\xi$ is a constant. I would like to transform by some change of variables in the form $\int_{-\infty}^{\infty}dx F(x) \int_{-\infty}^{\infty}dy G(y)$ the problem is that due to absolute value in the integral one must take in account where x is greater or less than y, can someone help me, please?
 HW Helper P: 2,264 First observe that $e^{-\xi \vert x-y\vert}e^{-x^2}e^{-y^2}=e^{-\xi \vert x-y\vert}e^{-(x-y)^2/2}e^{-(x+y)^2/2}$ Then you can either change variables such as u=(x+y)/sqrt(2) v=(x-y)/sqrt(2) or break into two regions xy