Let us change the cartesian coordinates to polar ones. In polar coordinates,
x2 þ y2 ¼ r2. The range of the variables x and y from 0 to 1 means the first
quadrant and hence r is going from 0 to infinity and u from 0 to p=2. In polar
coordinates, dx dy ¼ r dr du, and hence:
I2 ¼
pð=2
0
ð1
0
exp r2=2
r dr du
Calculating the inner integral yields:
ð1
0
exp r2=2
r dr¼ exp r2=2
1
0 ¼ (0 1) ¼ 1
Hence:
I2 ¼
pð=2
0
du ¼
p
2
) I ¼
1
2
ð
p
2pÞ