Past exam of the mathematics course of the University of Cambridge / 2016 / ia / Paper 2 / 2A / a / Solution

Start from $I_0(\lambda )=1/\lambda$. Differentiation under the integral sign givesThis interchange is justified locally around any $\lambda >0$ by the dominated convergence theorem: the differentiated integrands are bounded by an integrable polynomial times $e^{-\lambda x/2}$. Successive derivatives of ${\lambda }^{-1}$ giveThis is also the integer case of the Gamma function integral after scaling the integration variable.