TITLE: How do I prove this $\int_{0}^{\infty}{e^{-x^n}-e^{-x^m}\over x\ln{x}}dx={\ln{\left(m\over n\right)}}?$
QUESTION [8 upvotes]: How do I prove this

$$\int_{0}^{\infty}{e^{-x^n}-e^{-x^m}\over x\ln{x}}dx=\color{blue}{\ln{\left(m\over n\right)}}.\tag1$$

I know of the standard integral
$$\int_{0}^{1}{x^m-x^n\over \ln{x}}dx=\ln\left({m+1\over n+1}\right)\tag2$$
I can't seem to find a suitable substitution for $(1)$
Can someone give a hint please? Thank you.

REPLY [8 votes]: Take $\log\left(x\right)=v$. We have
\begin{align}
I&=\int_{0}^{\infty}\frac{\exp\left(-x^{n}\right)-\exp\left(-x^{m}\right)}{x\log\left(x\right)}\ dx\\[10pt]
&=\int_{-\infty}^{\infty}\frac{\exp\left(-e^{vn}\right)-\exp\left(-e^{vm}\right)}{v}\ dv\\[10pt]
&=\int_{0}^{\infty}\frac{\exp\left(-e^{vn}\right)-\exp\left(-e^{vm}\right)}{v}\ dv-\int_{0}^{\infty}\frac{\exp\left(-e^{-vn}\right)-\exp\left(-e^{-vm}\right)}{v}dv
\end{align}
so if we apply the Frullani's theorem to the function $f\left(x\right)=\exp\left(-e^{x}\right)$ and $g\left(x\right)=\exp\left(-e^{-x}\right)$ respectively we get

$$I=\frac{1}{e}\log\left(\frac{m}{n}\right)-\left(\frac{1}{e}-1\right)\log\left(\frac{m}{n}\right)=\color{red}{\log\left(\frac{m}{n}\right)}$$ 

as wanted.
Addendum. It is interesting to note that we can easily generalize the result. We have the following:

Theorem. If $f:\left(0,\infty\right)\rightarrow\mathbb{R}
 $ is a function such that $\lim_{x\rightarrow0}f\left(x\right)=f\left(0\right)\in\mathbb{R}
 $ and $\lim_{x\rightarrow\infty}f\left(x\right)=f\left(\infty\right)\in\mathbb{R}
 $ and is integrable over any interval $0<A\leq x\leq B<\infty
 $, then for all $m,n>0
 $ we get $$\int_{0}^{\infty}\frac{f\left(x^{n}\right)-f\left(x^{m}\right)}{x\log\left(x\right)}dx=\left(f\left(0\right)-f\left(\infty\right)\right)\log\left(\frac{m}{n}\right).
 $$

Proof: We have $$I=\int_{0}^{\infty}\frac{f\left(x^{n}\right)-f\left(x^{m}\right)}{x\log\left(x\right)}dx\overset{\log\left(x\right)=v}{=}\int_{-\infty}^{\infty}\frac{f\left(e^{vn}\right)-f\left(e^{vm}\right)}{v}dx
  $$ $$=\int_{0}^{\infty}\frac{f\left(e^{vn}\right)-f\left(e^{vm}\right)}{v}dx-\int_{0}^{\infty}\frac{f\left(e^{-vn}\right)-f\left(e^{-vm}\right)}{v}dx
 $$ and now since we have the hypothesis of the classic Frullani's theorem we get $$\begin{align}
I= & \left(f\left(1\right)-f\left(\infty\right)\right)\log\left(\frac{m}{n}\right)-\left(f\left(1\right)-f\left(0\right)\right)\log\left(\frac{m}{n}\right)\\
 = & \left(f\left(0\right)-f\left(\infty\right)\right)\log\left(\frac{m}{n}\right).\\
& \qquad\qquad\qquad\qquad\qquad\qquad\qquad\qquad\qquad\qquad\square
\end{align}$$