TITLE: Proving of Integral $\int_{0}^{\infty}\frac{e^{-bx}-e^{-ax}}{x}dx = \ln\left(\frac{a}{b}\right)$
QUESTION [11 upvotes]: Prove that
$$
\int_{0}^{\infty}\frac{e^{-bx}-e^{-ax}}{x}\,dx = \ln\left(\frac{a}{b}\right)
$$

My Attempt:
Define the function $I(a,b)$ as
$$
I(a,b) = \int_{0}^{\infty}\frac{e^{-bx}-e^{-ax}}{x}\,dx
$$
Differentiate both side with respect to $a$ to get
$$
\begin{align}
\frac{dI(a,b)}{da} &= \int_{0}^{\infty}\frac{0-e^{-ax}(-x)}{x}\,dx\\
&= \int_{0}^{\infty}e^{-ax}\,dx\\
&= -\frac{1}{a}(0-1)\\
&= \frac{1}{a}
\end{align}
$$
How can I complete the proof from here?

REPLY [3 votes]: $$
\begin{split}
\int_{0}^{\infty}\frac{\exp(-ax) - \exp(-bx)}{x}dx &= \lim_{\epsilon\to 0}\int_{\epsilon}^{\infty}\frac{\exp(-ax) - \exp(-bx)}{x}dx\\
&=\lim_{\epsilon\to 0}\left[\int_{\epsilon}^{\infty}\frac{\exp(-ax)}{x}dx - \int_{\epsilon}^{\infty}\frac{\exp(-bx)}{x}dx\right]\\
&=\lim_{\epsilon\to 0}\left[\int_{a\epsilon}^{\infty}\frac{\exp(-t)}{t}dt - \int_{b\epsilon}^{\infty}\frac{\exp(-t)}{t}dt\right]\\
&=\lim_{\epsilon\to 0}\int_{a\epsilon}^{b\epsilon}\frac{\exp(-t)}{t}dt=\lim_{\epsilon\to 0}\int_{a}^{b}\frac{\exp(-\epsilon u)}{u}du
\end{split}
$$
The integrand converges uniformly to $\frac{1}{u}$ within the finite integration limits, therefore we're allowed to move the limit inside the integral.