What does a differential mean? What is a differential of an intergral?

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For example if I have z = f(x,y), then dz = df/dx * dx + df/dy * dy. Then it is clear that dz is a linear approximation of change of z. (I don't know what is a differential analytically) But what is the differential of a function in integral $$y(s) = \int_0^s f(x) \,dx$$,

For example, under the follow equations, what is d$\phi$?

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It may be a dumb questions, but I can't see the differential and don't actually know what it is.