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I’m interested in the potential of such a technique. I got the idea from Moron’s answer to this question, which uses the technique of differentiation under the integral.

Now, I’d like to consider this integral:

$$\int_{-\pi}^\pi \cos{(y(1-e^{i\cdot n \cdot t}))}\mathrm dt$$

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I’d like to differentiate with respect to y. This will give the integral:

$$\int_{-\pi}^\pi -(1-e^{i\cdot n \cdot t})(\sin{(y(1-e^{i\cdot n \cdot t}))}\mathrm dt$$

…If I’m correct. Anyways, I’m interested in obtaining the results to this second integral, using this technique. So I’m wondering if solving the first integral can help give results for the second integral. I’m thinking of setting $y=1$ in the second integral. This should eliminate $y$ from the result, and give me the integral involving $x$.

The trouble is, I’m not sure I can use the technique of differentiation under the integral. I want to know how I can apply this technique to the integrals above. Any pointers are appreciated.

For instance, for what values of $y$ is this valid?

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Wikipedia doesn’t seem to have a precise statement of this theorem. Here’s a very general statement.

**Theorem (Differentiation under the integral sign):** Let $U$ be an open subset of $\mathbb{R}$ and let $E$ be a measure space (which you can freely take to be any open subset of $\mathbb{R}^n$ if you want). Let $f : U \times E \to \mathbb{R}$ have the following properties:

- $x \mapsto f(t, x)$ is integrable for all $t$,
- $t \mapsto f(t, x)$ is differentiable for all $x$,
- for some integrable function $g$, for all $x \in E$, and for all $t \in U$,

$$\left| \frac{\partial f}{\partial t}(t, x) \right| \le g(x).$$

Then the function $x \mapsto \frac{\partial f}{\partial t}(t, x)$ is integrable for all $t$. Moreover, the function $F : U \to \mathbb{R}$ defined by

$$F(t) = \int_E f(t, x) \mu(dx)$$

is differentiable, and

$$F'(t) = \int_E \frac{\partial f}{\partial t}(t, x) \mu(dx).$$

In practice the only condition that isn’t easily satisfiable is the third one. It is satisfied in this case, so you’re fine (for all $y$).

The general theorem wroten above by Qiaochu Yuan is formulated in the German and French Wikipedias with proofs.

They also give links to some literature, but the French book I wasn’t able to find, while in the German books I havent found the statement in its generality.

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