One of my interests is integral calculus so when I conceived of a problem such as
that resists methods such as integration by parts or a substitution, this gets me interested as it's so far been challenging to me.
Even though I feel that a simple (closed) solution exists for this problem, I haven't found one to date so I figure that others may want to take a look and try their hand at it.
I say that Fernando Revilla wins out on this puzzle although I'd say we all win out from our knowledge gained.
I've been promoting what I refer to as the A-S method (the addition-subtraction method) for use in helping to solve certain integration problems (this method was inspired by what I read on LaPlace transforms from Rainville-Bedient's Elementary Differential Equations) as it simplifies those problems' solutions. I tried the A-S method on the puzzle which failed to work so Fernando Revilla referred to another method that, while it works and is listed in Schaum's outline, isn't simple to apply (as Schaum demonstrates).
I will continue my integration and differential equations studies to see what else may be learned.