This function is separable.
 If calculating by hand with bounds a <-0 and  b <- 1 i got the result:

 theta / kappa * ( 1 + exp( - kappa) / kappa - 1 / kappa)

by putting
theta <-  0.1
kappa <-0.3
in the above result I got 0.04535

I implemented it in R this way:

integrate(function(y) {
   sapply(y, function(y) {
    integrate(function(x) exp(- kappa * (y - x)) * theta, a, y)$value
   })
 }, a, b)$value
)

Result: [1] 0.04535358

Thanks for helping!

On Sun, Feb 17, 2013 at 10:04 AM, Berend Hasselman <bhh@xs4all.nl> wrote:

>
> On 17-02-2013, at 10:01, julia cafnik <julia.cafnik@gmail.com> wrote:
>
> > thank for your help. already solved it.
> >
>
> Show us how.
> So that others looking for answers to similar problems in future can find
> an answer.
>
> Berend
>
>

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