Suppose is continuously differentiable on . For , the improper integral exists, but substituting directly into the ordinary Leibniz integral rule produces an undefined endpoint term. First use integration by parts to obtain
The new endpoint term at vanishes, and the differentiated kernel is locally integrable. Differentiating gives the displayed formula. One rigorous justification rewrites the second term as by Fubini's theorem; the inner integral is continuous for , so the fundamental theorem of calculus applies. Moreover : if , the right difference quotient at zero diverges rather than defining a finite derivative.

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