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