For simplicity, we can just set $a=1$ and $b=0$.
If $0<p\le1$, we can use Dirichlet's test.
Because $x^{-p}$ is monotonically decreasing and tends to $0$, and $|\int_s^t \sin x\ dx|\le 2$ for arbitrary $t>s\ge1$, then $\int_1^{\infty}x^{-p}\sin x\ dx$ converges.
Moreover, we can prove that this integral is conditionally convergent.
$\int_1^{\infty}x^{-p}|\sin x|\ dx \ge \int_1^{\infty}x^{-p} (\sin x)^2\ dx =\frac{1}{2}\int_1^{\infty}x^{-p}[1-\cos (2x)]\ dx$
Using Dirichlet's test again, we know that $\int_1^{\infty}x^{-p}\cos (2x)\ dx$ is convergent.
However, $\int_1^{\infty}x^{-p}\ dx$ is divergent, making the whole integral $\int_1^{\infty}x^{-p}|\sin x|\ dx$ is divergent.
Therefore, we can conclude that:
- If $p>1$, the integral is absolutely convergent.
- If $0<p\le 1$, the integral is conditionally convergent.