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On the ubiquity of the Levy integral, its relationship with the generalised Euler-Jacobi series, and their asymptotics beyond all orders

We present here an overview of the history, applications and important properties of a function which we refer to as the Levy integral. For certain values of its characteristic parameter the Levy integral defines the symmetric Levy stable probability density function. As we discuss however the Levy integral has applications to a number of other fields besides probability, including random matrix theory, number theory and asymptotics beyond all orders. We exhibit a direct relationship between the Levy integral and a number theoretic series which we refer to as the generalised Euler-Jacobi series. The complete asymptotic expansions for all natural values of its parameter are presented, and in particular it is pointed out that the intricate exponentially small series become dominant for certain parameter values.