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The real Beta--Gamma identity
Statement
For , .
Facts & Assumptions
Given: Positive reals and the nonnegative function on the open first quadrant.
If is locally Riemann integrable and is a compact Jordan exhaustion, then , independently of the exhaustion (Every Jordan exhaustion computes a nonnegative improper multiple integral).
If is injective and with invertible derivative on an open set, is compact Jordan, and is bounded on , then is integrable exactly when is, and their integrals are equal (Change of variables for an injective map on a compact Jordan set).
If are nondegenerate closed rectangles, is integrable on , and every section in one coordinate order is integrable, then the ordinary iterated integral in that order exists and equals the multiple integral (Riemann--Fubini on product rectangles, with lower and upper section integrals and content-zero exceptional sections).
Proof
On compact rectangles inside the first quadrant, [F3] factors the integral as a product of one-variable integrals. Passing through rectangular exhaustion by [F1] gives total improper integral .
On compact rectangles inside use , . The map is injective, its absolute Jacobian is , and [F2] transforms the integrand times Jacobian into .
A fixed nested family of such compact rectangles maps to a cofinal exhaustion of the first quadrant. By [F1] the limit is independent of this exhaustion, and by [F3] the transformed integral factors as .
Gamma is positive on the positive axis, so division of the equality in step 2.1 by gives the claimed identity.
Depends on
The real Gamma function by Euler's integral
Euler's real Beta integral
Euler's Gamma integral converges exactly for positive real parameters
Euler's Beta integral converges exactly for two positive parameters
Every Jordan exhaustion computes a nonnegative improper multiple integral
Riemann--Fubini on product rectangles, with lower and upper section integrals and content-zero exceptional sections
Change of variables for an injective map on a compact Jordan set
Linearity, monotonicity, the absolute-value estimate and coordinate-slice additivity for the Riemann integral in