Math 2.0

Real functions Riemann and related integrals Theorem

Differentiation under the integral sign

Builds on Partial derivativeContinuity in R^nChain rule in several variables

Statement

Let f ⁣:[a,b]×[t0,t1]→ℝf \colon [a, b] \times [t_0, t_1] \to \mathbb{R} be continuous, and suppose that its partial derivative ∂f/∂t\partial f / \partial t exists and is continuous on [a,b]×[t0,t1][a, b] \times [t_0, t_1]. Then F(t)=∫abf(x,t) dxF(t) = \int_a^b f(x, t) \, dx is continuously differentiable on [t0,t1][t_0, t_1], and F′(t)=∫ab∂f∂t(x,t) dx.F'(t) = \int_a^b \frac{\partial f}{\partial t}(x, t) \, dx. If, in addition, α,β ⁣:[t0,t1]→[a,b]\alpha, \beta \colon [t_0, t_1] \to [a, b] are continuously differentiable, then ddt∫α(t)β(t)f(x,t) dx=∫α(t)β(t)∂f∂t(x,t) dx+f(β(t),t) β′(t)−f(α(t),t) α′(t).\frac{d}{dt} \int_{\alpha(t)}^{\beta(t)} f(x, t) \, dx = \int_{\alpha(t)}^{\beta(t)} \frac{\partial f}{\partial t}(x, t) \, dx + f(\beta(t), t) \, \beta'(t) - f(\alpha(t), t) \, \alpha'(t).

Remarks

The second formula follows from the first, the fundamental theorem of calculus and the chain rule, applied to G(u,v,t)=∫uvf(x,t) dxG(u, v, t) = \int_u^v f(x, t) \, dx. A measure theory version: let f(⋅,t)f(\cdot, t) be integrable for each tt in an open set, let ∂f/∂t\partial f / \partial t exist for almost all xx, and let ∣∂f/∂t(x,t)∣≤g(x)|\partial f / \partial t (x, t)| \le g(x) for an integrable gg. Then the same rule holds. Its proof uses the dominated convergence theorem. Example: let F(t)=∫01xt−1ln⁡x dxF(t) = \int_0^1 \frac{x^t - 1}{\ln x} \, dx for t≥0t \ge 0. For t>0t > 0 the measure version, with g=1g = 1, gives F′(t)=∫01xt dx=1t+1F'(t) = \int_0^1 x^t \, dx = \frac{1}{t + 1}. Since FF is continuous with F(0)=0F(0) = 0, F(t)=ln⁡(1+t)F(t) = \ln(1 + t).

Reading path

To understand this page from the ground up, read these 11 pages in order. The foundations come first.

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  1. Euclidean space object
  2. Function concept
  3. Function composition concept
  4. Fréchet derivative definition
  5. Function of several variables concept
  6. Limit of a function of several variables concept
  7. Continuity in R^n definition
  8. Differentiable function of several variables definition
  9. Partial derivative definition
  10. Chain rule in several variables statement
  11. Differentiation under the integral sign statement

Where this leads

5 pages build on this one.

Further reading

  1. Web https://en.wikipedia.org/wiki/Leibniz_integral_rule, General form: differentiation under the integral sign
  2. Web https://en.wikipedia.org/wiki/Leibniz_integral_rule, Measure theory statement
About this page
Tag0AR06W1E1B
URIm2://0AR06W1E1B
Aliasesleibniz-integral-rule
Kindstatement, theorem
WritingW1 stated
MSC26B15
StatusThis copy of the site has no build data. Run m2 status 0AR06W1E1B.
UsesPartial derivative, Continuity in R^n, Chain rule in several variables
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