MHB Evaluate some kind of gamma function

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The discussion centers on evaluating two integrals involving the gamma function. The first integral, $\int_0^1\int_{\sqrt{x}}^1 e^{y^y} dx dy$, is criticized for being problematic due to its lower bound depending on x, leading to a function of both variables after integration. In contrast, the second integral, $\int_0^1\int_{\sqrt{x}}^1 e^{y^3} dy dx$, is deemed more straightforward and easier to solve. By changing the order of integration, it simplifies to $\int_0^1 y^2 e^{y^3} dy$, eliminating the variable x from the integrand. This makes the second integral significantly more manageable and highlights the importance of proper limits in double integrals.
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My question and solution that I've tried out are in attachment. Is it true my steps?
 

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I am puzzled that you post the problem as $\int_0^1\int_{\sqrt{x}}^1e^{y^y} dxdy$, which makes no sense to me but do it as $\int_0^1\int_{\sqrt{x}}^1e^{y^3} dydx$ which does make sense and is far easier! Which is it?

The first integral makes no sense because the integral with respect to x has a function of x as the lower bound so that, even after the first integral, you will have a function of both x and y and after integrating with respect to y you will still have a function of x instead of a number.

And the second integral is far easier because $e^{y^y}$ is a horrendous function to integrate while $e^{y^3}$ is much easier!

To integrate $\int_0^1\int_{\sqrt{x}}^1e^{y^3} dydx$, I would first change the order of integration. The integral, taking x from 0 to 1 and, for each x, y from $\sqrt{x}$ to 1, is the portion of the square $0\le x\le 1$, $0\le y\le 1$, above the graph of $y= \sqrt{x}$. That is also the portion to the right of $x= y^2$ so the integral is $\int_0^1\int_0^{y^2} e^{y^3}dxdy$. There is no "x" in the integrand so the first integral just results in $\int_0^1 y^2e^{y^3}dy$ which is easy.
 
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There are probably loads of proofs of this online, but I do not want to cheat. Here is my attempt: Convexity says that $$f(\lambda a + (1-\lambda)b) \leq \lambda f(a) + (1-\lambda) f(b)$$ $$f(b + \lambda(a-b)) \leq f(b) + \lambda (f(a) - f(b))$$ We know from the intermediate value theorem that there exists a ##c \in (b,a)## such that $$\frac{f(a) - f(b)}{a-b} = f'(c).$$ Hence $$f(b + \lambda(a-b)) \leq f(b) + \lambda (a - b) f'(c))$$ $$\frac{f(b + \lambda(a-b)) - f(b)}{\lambda(a-b)}...

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