Start from . Differentiation under the integral sign givesThis interchange is justified locally around any by the dominated convergence theorem: the differentiated integrands are bounded by an integrable polynomial times . Successive derivatives of giveThis is also the integer case of the Gamma function integral after scaling the integration variable.
Use the inverse change of variables and . The chain rule gives the differential operatorsThe mixed partial derivatives cancel, assuming the twice continuously differentiable solution appropriate here. Consequently .
The transformed equation isThe factors of belong to the inverse Jacobian matrix; using the forward transformation instead would give an incorrect factor.
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