October 5, 2007

Prove that if $f$ is continuous, then
\int_0^x f(u)(x-u)\,du = \int_0^x \left(\int_0^u f(t)\,dt \right)\,du



Solution. 
Note that
\frac{d}{dx}\left(\int_0^x \left(\int_0^u f(t)\,dt \right)\,du \right) =\int_0^{x} f(t)\,dt,


by the Fundamental Theorem of Calculus, while
$\begin{eqnarray} \frac{d}{dx}\left[\int_0^x f(u)(x-u)\,du \right] & = & \frac{d}{dx} \left[x\int_0^x f(u)\,du \right] - \frac{d}{dx} \left[\int_0^x f(u)\,du \right] \\ &=& \int_0^x f(u)\,du + x f(x) - f(x) x \\ &=& \int_0^x f(u)\,du, \end{eqnarray}$


where we used the product rule on the first term. Therefore, $\int_0^x f(u)(x-u)\,du = \int_0^x \left(\int_0^u f(t)\,dt \right)\,du + C$. Setting $x=0$ gives $C=0$.