differentiation under the integral sign
The technique of differentiation under the integral sign concerns the interchange of the operation of differentiation with respect to a parameter with the operation of integration over some other variable:
Intuitively, the rule ought to work because differentiation commutes with finite summation, and one may conjecture that it can also commute with infinite summation (in the form of the integral), at least in some cases.
Theorem 1 (Elementary Calculus version).
Theorem 1 is the formulation of integration under the integral sign that usually appears in elementary Calculus texts. Unfortunately, its restriction that must be compact can be quite severe for applications: e.g. integrals over are not included. Theorem 2 below addresses this problem and others:
Theorem 2 (Measure theory version).
Theorem 2 suffices for many applications, but using the Fundamental Theorem of Calculus for Lebesgue integration, we can weaken the hypotheses for differentiating under the integral sign even further:
Let be an open subset of , and be a measure space. Suppose that a function satisfies the following conditions:
For almost all , is an absolutely continuous function of . (This guarantees that exists almost everywhere.)
is “locally integrable” — that is, for all compact intervals contained in :
Then is an absolutely continuous function of , and for almost every , its derivative exists and is given by
If the Kurzweil-Henstock integral — which has a stronger Fundamental Theorem of Calculus (http://planetmath.org/FundamentalTheoremOfCalculusForKurzweilHenstockIntegral) — is used in place of the Lebesgue integral, Theorem 3 can be generalized to a formulation that provides also the necessary conditions for differentiation under the integral sign. See [Talvila] for the full details.
Yet this is not the end of the story. There are some applications in which the integrand is too “irregular”, or the integral of the differentiated integrand becomes divergent, and neither Theorem 2 or Theorem 3 would apply. However, if we use generalized functions (all of which can be differentiated at will), then we can extend the technique of differentiation under the integral sign further, and make sense of any “irregular” integrals that may result:
Theorem 4 (Distribution theory version).
Let be an open set in , and be a measure space. Given , for each , a generalized function of (in the sense of Schwartz’s theory of distributions), define:
Assume the above integral is well-defined and gives a distribution. Then
where refers to the generalized derivative of generalized functions on both sides of the equation.
For an absolutely continuous function, the generalized derivative coincides with the ordinary derivative, so Theorem 4 indeed generalizes Theorem 3. On the other hand, there are cases where the integrand is not absolutely continuous — and so has a generalized derivative different from the ordinary derivative — yet its integral has a classical derivative that is represented by the final equation of Theorem 4. For instance, the integrand may involve a step function, and its derivative would thus involve a Dirac delta distribution, that when integrated, yields an ordinary locally-integrable function (of the parameter ).
There are other frequently-used variations of the theorems above.
Moving domains of integration. Not only can the integrand vary with the parameter, we can consider domains of integration, subsets of , that vary with the parameter.
In the one-dimensional case, for continuously differentiable functions , , and , we have:
Generalizations to varying smooth surfaces or volumes — or, more generally, -dimensional differentiable manifolds in — can be obtained by using integrals of differential forms on chains (http://planetmath.org/NChain), and Stokes’ Theorem. Details can be found in [Flanders].
Different types of integrals. The differentiation can also be taken under integrals other than of the standard Riemann type, such as the line integrals and surface integrals of vector calculus, or complex contour integrals. (Actually, these kinds of integrals can be re-formulated as Lebesgue integrals, so Theorem 2 applies to them.)
- Flanders Harley Flanders. “Differentiation under the Integral Sign”. American Mathematical Monthly, vol. 80 (June-July 1973), p. 615-627.
- Folland Gerald B. Folland. Real Analysis: Modern Techniques and Their Applications, second ed. Wiley-Interscience, 1999.
- Jones D. S. Jones. The Theory of Generalized Functions, second ed. Cambridge University Press, 1982.
- Munkres James R. Munkres. Analysis on Manifolds. Westview Press, 1991.
- Schwartz Laurent Schwartz. Théorie des Distributions, vol. I. Hermann, 1957.
- Talvila Erik Talvila. “http://www.math.ualberta.ca/ etalvila/papers/difffinal.pdfNecessary and Sufficient Conditions for Differentiating Under the Integral Sign”. American Mathematical Monthly, vol. 108 (June-July 2001), p. 544-548.
The author of this entry has also written an exposition, “http://gold-saucer.afraid.org/math/diff-int/diff-int.pdfDifferentiation under the Integral Sign using Weak Derivatives”, containing a proof of Theorem 4 along with detailed computational examples.
|Title||differentiation under the integral sign|
|Date of creation||2013-03-22 16:26:37|
|Last modified on||2013-03-22 16:26:37|
|Last modified by||stevecheng (10074)|