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nasty integrals that Mathematica can't do



Hi there

In my research, i've come up with the following integral:

    Integrate[ CosIntegral[a x] Cos[b x], {x,0,Infinity} ]

Gradshteyn and Ryzhik have this integral, but apparently, Mathematica
3.0.1 can't do it.

My question: Is there a way to "teach" Mathematica how to do a
particular type of integral?  Can I somehow plug G+R's solution in
Mathematica?

Pete

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