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Relevant wiki: Differentiation Under the Integral Sign
In order to evaluate the given integral, we resort to the following device.
Define ϕ ( α ) = ∫ 0 1 ln x x α − 1 d x ; α > 0
then by Leibnitz's rule:
ϕ ′ ( α ) = ∫ 0 1 ∂ α ∂ ( ln x x α − 1 ) = ∫ 0 1 ln x x α ln x d x = ∫ 0 1 x α d x = α + 1 1 .
Integrating with respect to α ,
ϕ ( α ) = ln ( α + 1 ) + c But since ϕ ( 0 ) = 0 , a n d c = 0 and so ϕ ( α ) = ln ( α ) + 1 .
Then, the value of our integral is ln 2 .
The applicability of Leibnitz's rule is ok here since we are defining: F ( x , α ) = ( ln x x α − 1 ) , where 0 < x < 1 ,
F ( 0 , α ) = 0 , F ( 1 , α ) = α , then F ( x , α ) is continuous in both x and α for 0 ≤ x ≤ 1 and for all finite α .