Proof that Rules of Integration apply to the Big I function

[azane]

I am pretty sure the same rules apply. At least for the GMM, I'm pretty sure they apply, but I'm not sure if they do across the board (nor have I tried to prove it). It would be great to have a wiki page dedicated to the mathematical proof that the bigI function follows the rules of integration...or a page showing what does and doesn't. See the Big I function and the GMM certainty page for more details.