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Let $f(z)$ be a complex and continuous function on $[0,1]$. We'll define $g(z) = \int_0^1 f(t)e^{tz} \, dt $. Prove that $g(z)$ is an entire function.

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    Have you tried the Cauchy-Riemann equations?2011-11-14
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    Morera's theorem seems to do it pretty quickly. See my answer below.2011-11-14
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    You may differentiate under the integral sign.2011-11-14
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    @Christian Maybe a _proof_ that one may differentiate under the integral sign is just about what is being asked for here.2011-11-14

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Morera's theorem implies that if for every circle $C$ in the complex plane, $$ \int_C g(z) \; dz = 0 $$ then $g$ is entire. To find that integral, first write $$\int_C g(z) \; dz = \int_C\int_0^1 f(t)e^{tz} \; dt\; dz.$$ Now we're integrating continuous functions over compact sets, so everything in sight is Lebesgue-integrable and Fubini's theorem can be used to get $$ \int_C\int_0^1 f(t)e^{tz} \; dt\; dz=\int_0^1 \int_C f(t) e^{tz} \; dz\;dt = \int_0^1\left(f(t)\int_C e^{tz} \; dz \right) \; dt. $$ The inner integral is $0$ because it is the integral of an entire function around a circle. So the whole thing is $0$ and the conclusion from Morera's theorem is just what is needed.

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    Michael, if you dont mind, how did you get that $$\int_C g(z) \; dz = \int_C\int_0^1 f(t)e^{tz} \; dt\; dz?$$2013-04-12
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    @Q.matin : It was explicitly stated in the original question above that $g(z)=\int_0^1 f(t) e^{tz}\,dt$. In order to see whether Morera's theorem is applicable, we consider $\int_C g(z)\,dz$.2013-04-12
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If you write $f=f_1+\sqrt{-1}f_2$ where $f_1, f_2$ are continuous function on $[0,1]$ and $z=x+\sqrt{-1}y$, then $$g(z)=g(x,y)=\int_0^1\big(f_1(t)+\sqrt{-1}f_2(t)\big)e^{tx}\big(\cos(ty)+\sqrt{-1}\sin(ty)\big)dt.$$ Therefore the real part $u(x,y)$ and the imaginary part $v(x,y)$ of $g(x,y)$ are given by $$u(x,y)=\int_0^1e^{tx}\big(f_1(t)\cos(ty)-f_2(t)\sin(ty)\big)dt$$ and $$v(x,y)=\int_0^1e^{tx}\big(f_1(t)\sin(ty)+f_2(t)\cos(ty)\big)dt.$$ Then you can check easily that $u$ and $v$ satisfy the Cauchy-Riemann condition: $u_x=v_y$ and $u_y=-v_x$ for all $z=x+\sqrt{-1}y\in\mathbb{C}$.

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    +1. Note: "Leibniz integral rule" is of use in checking the conditions.2011-11-14
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    Why not check complex differentiability directly? Since you're going to differentiate under the integral sign anyway, I don't see the need for splitting into real and imaginary parts.2011-11-14
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    @t.b. yeap, that's another way to do it.2011-11-14
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    @matt oh yes, you are right.2011-11-14