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But this illustrates one of the difficulties in answering the question. The phrase "closed-form expression" is ambiguous -- it depends on what you define as allowable elementary functions. I mean, if I'm allowed to define new functions, I can express anything in closed form -- I just define a function whose value is the solution to my problem. This sounds like cheating, but that's basically where most of our more recondite special functions come from: elliptic functions, Bessel function, Hypergeometric functions, etc. There was no closed-form expression to the problem so some old 19th century German said, "I hereby define this function to be the solution." And presto! the problem had a closed-form solution.
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I agree, but even if this way to see things is correct it is still incomplete. Of course, it should be too easy to define a new special function as the solution of a problem and then, to say : The problem as a solution which is expressed thanks to the new special function !
Special functions are more than that. For exemple, consider the Riemann zeta function.
If you say : I define a closed-form expression f(x) for the infinite series of general term 1/n^x (for n=1 to infinity), the function f(x) is defined only for x>1 since the series doesn't converges for x<1. However zeta(x) is defied for any real x (except x=1) and even for complex x. The special function zeta covers much more background : integral definition of the function, analytic continuation and much more.
In fact, when we use a closed-form expression to express the solution of a problem, we refer to a background of knowledge and we give a relationship to standard functions, i.e. functions which have been widely studied.
If the solution of a problem is only used to define à new special function, a relationship is not established to any previous background. So, this supposedly "closed-form" is useless.
A funny example is given as a preamble in the paper "Sophomores Dream Function" (pp.2-3). By the link :
http://www.scribd.com/JJacquelin/documents
This is also a main theme in the paper "Safari au pays des fonctions speciales" ( not translated yet), same link.