The functions f(x) and g(x) have Laplace transforms F(p) and G(p) respectively, and f(x)=g(x)=0 for x⩽0. The convolution h(x) of f(x) and g(x) is defined by
h(x)=∫0xf(y)g(x−y)dy for x>0 and h(x)=0 for x⩽0
Express the Laplace transform H(p) of h(x) in terms of F(p) and G(p).
Now suppose that f(x)=xα and g(x)=xβ for x>0, where α,β>−1. Find expressions for F(p) and G(p) by using a standard integral formula for the Gamma function. Find an expression for h(x) by using a standard integral formula for the Beta function. Hence deduce that
Γ(z+w)Γ(z)Γ(w)=B(z,w)
for all Re(z)>0,Re(w)>0.