Prove that
$$
\int_{0}^{\infty}\frac{e^{-bx}-e^{-ax}}{x}\,dx = \ln\left(\frac{a}{b}\right)
$$
My Attempt:
Define the function $I(a,b)$ as
$$
I(a,b) = \int_{0}^{\infty}\frac{e^{-bx}-e^{-ax}}{x}\,dx
$$
Differentiate both side with respect to $a$ to get
$$
\begin{align}
\frac{dI(a,b)}{da} &= \int_{0}^{\infty}\frac{0-e^{-ax}(-x)}{x}\,dx\\
&= \int_{0}^{\infty}e^{-ax}\,dx\\
&= -\frac{1}{a}(0-1)\\
&= \frac{1}{a}
\end{align}
$$
How can I complete the proof from here?
Answer
A problem-specific solution is as follows:
\begin{align*}
\int_{0}^{\infty} \frac{e^{-bx} - e^{-ax}}{x} \, dx
&= - \int_{0}^{\infty} \int_{a}^{b} e^{-xt} dt \, dx \\
&= - \int_{a}^{b} \int_{0}^{\infty} e^{-xt} dx \, dt \\
&= - \int_{a}^{b} \frac{dt}{t}
= - \left[ \log x \right]_{a}^{b} = \log\left(\frac{a}{b}\right).
\end{align*}
Interchanging the order of integration is justified either by Fubini's theorem or Tonelli's theorem.
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