I need to integrate where . How do I do that?
For any [LaTeX ERROR: Convert failed] , the derivative [LaTeX ERROR: Convert failed] . Similarly for the antiderivative. In the integration by parts you are using the above plus the chain rule so the integration should work for [LaTeX ERROR: Convert failed] . Of course, you are going to have to exclude some special values like (n,m) = (0,0) or (1,1), etc
Although if you try n = 2/3 and m = 3/4, Mathematica will give you something involving hypergeometric series.
If you try n = 1/2 and m = 2, you get an elliptic integral.
I did some numerical integration for values of n and m for the integration by parts identity and it all works well as long as we work in the given ranges, i.e. n, m >1.