Just in case someone hits this from google (like I did), I have a reference.
Buck, in Advanced Calculus, says:
Theorem If \int_c^\infty f(x,u) \, du converges to F(x) for all x, a \leq x \leq b, and if f and f_1 = \partial f/\partial x are continuous for a \leq x \leq b, c \leq u < \infty...