When I take \(P_n\) as I stated it, and differentiate both sides, I get:
[MATH]f^{(n+1)}(x)=a^ne^{ax}+\left(na^{n-1}+a^nx\right)ae^{ax}[/MATH]
[MATH]f^{(n+1)}(x)=\left(a^n+\left(na^{n-1}+a^nx\right)a\right)e^{ax}[/MATH]
[MATH]f^{(n+1)}(x)=\left(a^n+na^{n}+a^{n+1}x\right)e^{ax}[/MATH]
[MATH]f^{(n+1)}(x)=\left((n+1)a^{(n+1)-1}+a^{n+1}x\right)e^{ax}[/MATH]
And so, we have derived \(P_{n+1}\) from \(P_n\), thereby completing the proof by induction. Does that make sense?