The technique of integration that is generally taught in a second semester calculus course is called Riemann integration. This is given by taking a closed, bounded interval and partitioning it into a set of points where . Given a function we then consider sums of the form

where . Sums such as this are called Riemann sums. In particular, we’d like to consider Riemann sums where the we choose in each sub-interval of the partition is the one that gives us the largest value of over that subinterval. Defining and as follows, we can then do this easily.

We can then define the upper and lower Riemann sums of with respect to the partition , denoted and , respectively, as follows.

Now, we can take the infimum and supremum of these over all partitions of to get the upper and lower Riemann integrals of over the interval :

(Where means that is a partition of .)

In the event that , we say that the function is Riemann integrable, and simply write for this common value.

While the Riemann integral is certainly a useful tool, it has some severe restrictions. It is only defined for bounded intervals, but that is easily fixed by taking a limit as one (or both) of the endpoints goes to infinity. There are some serious problems with having a sequence of functions, as the integral of the limit may not equal the limit of the integrals. In those cases we have to either impose some pretty severe restrictions on how the sequence converges (i.e., require uniform convergence), or use more advanced tools from measure theory (namely the monotone and dominated convergence theorems with the Lebesgue integral).

Another less serious limitation is that it’s not immediately clear how to extend the Riemann integral to allow us to integrate in other spaces, namely how to integrate over or . An important, though very simple, extension of the Riemann integral that can help us rectify those problems (as well as make notation in probability theory a bit more compact) by letting us consider contour integrals is the Riemann-Stieltjes integral.

The Riemann-Stieltjes integral is defined almost exactly like the Riemann integral is above, except that instead of multiplying by the factor in our Riemann sum, we multiply by . That is, given two functions we can define,

And we define the upper and lower integrals of with respect to as

Again, if these values coincide, we refer to this value as . We call the integrand and the integrator.

Of course, now we may ask if the Riemann-Stieltjes integral has all of the properties of the traditional Riemann integral, and what new properties it may have that the Riemann integral does not. One property that’s easy to check, though, is that of linearity.

Thanks to properties of the supremum, and infimum, we know that if is a constant and is a set, . Carrying this into our definition of the Riemann-Stieltjes integral, we have that if is a constant, and are functions such that exists, then .

Similarly, as , we can show that . (Of course, to use this for linearity of the integral we need to also show that , and similarly for , but this follows easily by distributing the sum over the term in the Riemann sum.)

It has been quite a while since I’ve looked at this, but I seem to recall that g needs some restrictions that aren’t mentioned like monotone and maybe even continuous?

Comment by hilbertthm90 — October 19, 2008 @ 1:04 pm |

As I understand it, the restrictions on the integrator determine when the integral exists. You can define the integral as we have, but the upper and lower integrals won’t be equal for just any arbitrary real function. If we restrict the integrator to being monotone, continuous, or of bounded variation, the integral will exist (assuming f also obeys some restrictions), but I wanted to have a post on bounded variation before I went into that.

Comment by cjohnson — October 19, 2008 @ 1:27 pm |

Ah. That makes sense. My arch-enemy analysis and I bump heads again.

Comment by hilbertthm90 — October 19, 2008 @ 2:52 pm |