TITLE: hard integral problems to solve
QUESTION [5 upvotes]: I'm practicing harder integration using techniques of solving with special functions 
I have difficulties with these two hard integrals; don't even know how to start,
$$\int_0 ^\infty x^p e^{-\frac{\theta}{x}+Bx}dx$$
where $\theta,B>0$
$$pv\int_0 ^\infty \frac{x^p e^{\cos{\theta x}} \cos(\frac{\pi p}{2} - \sin\theta x)}{1-x^2}dx$$
please help me to start of giving your solutions! thank you so much and have a good day/night

REPLY [4 votes]: $\newcommand{\angles}[1]{\left\langle\,{#1}\,\right\rangle}
 \newcommand{\braces}[1]{\left\lbrace\,{#1}\,\right\rbrace}
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With $\ds{\theta > 0}$ and $\ds{B > 0}$,
  $\ds{\int_{0}^{\infty}x^{p}
\exp\pars{-\,{\theta \over x} \color{#f00}{\large -} Bx}\,\dd x =\, ?}$.



Write $\ds{x \equiv \root{\theta \over B}\expo{t}}$ such that

\begin{align}
&\color{#f00}{\int_{0}^{\infty}x^{p} \exp\pars{-\,{\theta \over x} - Bx}\,\dd x}
=
\int_{-\infty}^{\infty}\pars{\root{\theta \over B}\expo{t}}^{p}
\exp\pars{-\root{\theta B}\bracks{\expo{-t} + \expo{t}}}\root{\theta \over B}
\expo{t}\,\dd t
\\[3mm] = &\
\pars{\theta \over B}^{\pars{p + 1}/2}\int_{-\infty}^{\infty}
\expo{\pars{p + 1}t}\exp\pars{-2\root{\theta B}\cosh\pars{t}}\,\dd t
\\[3mm] = &\
\pars{\theta \over B}^{\pars{p + 1}/2}\int_{-\infty}^{\infty}
\braces{\vphantom{\Large A}\cosh\pars{\vphantom{\large A}\bracks{p + 1}t} + \sinh\pars{\vphantom{\large A}\bracks{p + 1}t}}
\exp\pars{-2\root{\theta B}\cosh\pars{t}}\,\dd t
\\[3mm] = &\
2\pars{\theta \over B}^{\pars{p + 1}/2}\int_{0}^{\infty}
\cosh\pars{\bracks{p + 1}t}\exp\pars{-2\root{\theta B}\cosh\pars{t}}\,\dd t
\\[3mm] = &\
\color{#f00}{2\pars{\theta \over B}^{\pars{p + 1}/2}\,
\mathrm{K}_{p + 1}\pars{2\root{\theta B}}}
\end{align}

$\ds{\mathrm{K}_{\nu}\pars{z}}$ is the 
Modified Bessel Function of the Second Kind.