In this article,we give three types of applications of infinite limit improper integral in probability and statistics. For Γ( α) and Φ( x) example,we introduce applications of improper integral in probability and mathematical statistics,we use improper integral to judge the divergence of infinite series; to calculate some definite integral and to verify some conclusions in normal distribution.It can be seen that improper integral is not only a mathematical concept,but it actually is also a kind of mathemati...