What is it?
Differentiating ∫a(x)b(x)f(x,t)dt with respect to x, you get:
dxd∫a(x)b(x)f(x,t)dt=f(x,b(x))b′(x)−f(x,a(x))a′(x)+∫a(x)b(x)∂x∂f(x,t)dt
Example
In the interdependent value auction setting, we have the bidder whose true type is x but choose a value x′ to maximise the following expected payoff function:
∫0x′v(x,xj)fXj∣Xi(xj∣Xi=x)dxj−FXj∣Xi(x′∣Xi=x)m(x,x′)
Where m(x,x′) denotes the payment bidder i has to make when he/she wins.
If we assume the strategy β(x) to be the equilibrium strategy, then revealing the truth, i.e. choosing x′=x, must yield the highest expected payoff.
Therefore it must also satisfy the necessary condition for maximum when evaluating the FOC at x′=x:
dx′d∫0x′v(x,xj)fXj∣Xi(xj∣Xi=x)dxj=v(x,x′)fXj∣Xi(x′∣Xi=x)
Thus we have:
v(x,x′)fXj∣Xi(x′∣Xi=x)∣x′=x=dx′dFXj∣Xi(x′∣Xi=x)m(x,x′)∣x′=x
i.e. v(x,x)fXj∣Xi(x∣Xi=x)=dx′dFXj∣Xi(x∣Xi=x)m(x,x)
Useful link
http://www.econ.yale.edu/~pah29/409web/leibniz.pdf