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\end{eqnarray}  Now I_1 is:  \begin{eqnarray}  I_1 &=& \mu + 2 \int_{0}^{\infty} \int_{-\mu}^{0}  \frac{\sigma dt}{\sqrt{2\pi}}\exp(-t) \\ &=& \mu + \sqrt{\frac{2}{\pi}} \sigma  \end{eqnarray}