the format in MATLAB is
int( function, 'variable' ).
For example, to calculate the integral from 1 to 100, the object function is x^2 + \sin (x), you should do following:
1. define the function as
f = 'x ^ 2 + sin(x)';
2. integral
int( f, 'x', 1, 100 )
To calculate a p.d.f. of a r.v., I need to integral a product of two bessel function as
\mathcal{L}^{-1} \left( abs^2 K_n( \sqrt{as}) K_n( \sqrt{bs} ) \right)
where \mathcal{L}^{-1} is the inverse Laplace transform.
I think some properties about the bessel function can solve this...