Bessel to integral form Can someone tell me how the Bessel function be this form.
$$\frac{2}{π}\int_0^1 \frac{\cos (xt)}
{\sqrt{1-t^2}}  dt = J_0(x)$$

$\newcommand{\dif}{\mathrm d}$
$$\begin{align*} \int_0^1 \frac{\cos (xt)}{\sqrt{1-t^2}} \dif t
&= \int_0^1 \sum_{j=0}^\infty \frac{(-1)^j (xt)^{2j}}{(2j)!\sqrt{1-t^2}} \dif t \\
&= \sum_{j=0}^\infty \frac{(-1)^j x^{2j}}{(2j)!} \int_0^1 \frac{t^{2j} \dif t}{\sqrt{1-t^2}}
\end{align*}$$
Observe that (this part needs some justification) by some identities of the $\Gamma$ function,
$$ \int_0^1 \frac{t^{2j} \dif t}{\sqrt{1-t^2}} = \frac{\sqrt\pi \Gamma(j+1/2)}{2\Gamma(j+1)} = \frac{\sqrt\pi}{j!}\frac{(2j)!\sqrt\pi}{4^j j! } = \pi\frac{(2j)!}{2 \cdot 4^j (j!)^2}
$$
Hence
$$\sum_{j=0}^\infty \frac{(-1)^j x^{2j}}{(2j)!} \int_0^1 \frac{t^{2j} \dif t}{\sqrt{1-t^2}} = \frac{\pi}{2}\sum_{j=0}^\infty \frac{(-1)^j x^{2j}}{(2j)!} \frac{(2j)!}{2 \cdot 4^j (j!)^2} = \frac{\pi}{2} \sum_{j=0}^\infty \frac{(-1)^j}{(j!)^2} \left( \frac x 2 \right)^{2j} = \frac{\pi}{2} \mathrm J_0(x)
$$
A good exercise would be to use the completeness of $\mathrm L^{\!1}$ to justify the switch of the order of summation.

Justification of the integral $ \int_0^1 \frac{t^{2j} \dif t}{\sqrt{1-t^2}}$:
Via the diffeomorphism $s \mapsto \sqrt s$, and the $\mathrm B$ identity $\mathrm B(x,y) \Gamma(x+y)=\Gamma(x) \Gamma(y)$,
$$\begin{align*} \int_0^1 \frac{t^{2j}}{\sqrt{1-t^2}} \dif t
&= \int_0^1 \frac{1}{2s^{1/2}}\frac{s^j}{\sqrt{1-s}} \dif s \\
&= \frac12 \int_0^1 s^{j-1/2} (1-s)^{-1/2} \dif s \\
&= \frac12\mathrm B(j+1/2,1/2) \\
&= \frac{\sqrt\pi \Gamma(j+1/2)}{2\Gamma(j+1)}
\end{align*}$$
