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Riemann–Stieltjes integral

# Riemann–Stieltjes integral

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Riemann–Stieltjes integral
Riemann–Stieltjes integral

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RiemannStieltjes integral1
Riemann
–
Stieltjes integral
In mathematics, the
Riemann
–
Stieltjes integral
is a generalization of the Riemann integral, named after BernhardRiemann and Thomas Joannes Stieltjes. The definition of this integral was first published in 1894 by Stieltjes. Itserves as an instructive and useful precursor of the Lebesgue integral.
Definition
The Riemann
–
Stieltjes integral of a real-valued function
ƒ
of a real variable with respect to a real function
g
isdenoted byand defined to be the limit, as the mesh of the partitionof the interval [
a
,
b
] approaches zero, of the approximating sumwhere
c
i
is in the
i
-th subinterval [
x
i
,
x
i
+1
]. The two functions
ƒ
and
g
are respectively called the integrand and theintegrator.The "limit" is here understood to be a number
A
(the value of the Riemann
–
Stieltjes integral) such that for every
ε
> 0, there exists
δ
> 0 such that for every partition
P
with mesh(
P
) <
δ
, and for every choice of points
c
i
in[
x
i
,
x
i
+1
],
Generalized Riemann
–
Stieltjes integral
A slight generalization, introduced by Pollard (1920) and now standard in analysis, is to consider in the abovedefinition partitions
P
that
refine
another partition
P
ε
, meaning that
P
arises from
P
ε
by the addition of points, rather than from partitions with a finer mesh. Specifically, the
'generalized Riemann
–
Stieltjes integral
of
ƒ
with respectto
g
is a number
A
such that for every
ε
> 0 there exists a partition
P
ε
such that for every partition
P
that refines
P
ε
,for every choice of points
c
i
in [
x
i
,
x
i
+1
].This generalization exhibits the Riemann
–
Stieltjes integral as the Moore
–
Smith limit on the directed set of partitionsof [
a
,
b
] (McShane 1952). Hildebrandt (1938) calls it the
Pollard
–
Moore
–
Stieltjes integral
.
Darboux sums
The Riemann
–
Stieltjes integral can be efficiently handled using an appropriate generalization of Darboux sums. Fora partition
P
and a nondecreasing function
g
on [
a
,
b
] define the upper Darboux sum of
ƒ
with respect to
g
byand the lower sum byThen the generalized Riemann
–
Stieltjes of
ƒ
with respect to
g
exists if and only if, for every ε > 0, there exists apartition
P
such that

RiemannStieltjes integral2Furthermore,
ƒ
is Riemann
–
Stieltjes integrable with respect to
g
(in the classical sense) if See Graves (1946, Chap. XII, §3).
Properties and relation to the Riemann integral
If
g
should happen to be everywhere differentiable, then the Riemann
–
Stieltjes integral may still be different fromthe Riemann integral of given byfor example, if the derivative is unbounded. But if the derivative is continuous, they will be the same. This conditionis also satisfied if
g
is the (Lebesgue) integral of its derivative; in this case
g
is said to be absolutely continuous.However,
g
may have jump discontinuities, or may have derivative zero
almost
everywhere while still beingcontinuous and increasing (for example,
g
could be the Cantor function), in either of which cases theRiemann
–
Stieltjes integral is not captured by any expression involving derivatives of
g
.The Riemann
–
Stieltjes integral admits integration by parts in the formand the existence of either integral implies the existence of the other (Hille & Phillips 1974, §3.3).
Existence of the integral
The best simple existence theorem states that if
f
is continuous and
g
is of bounded variation on [
a
,
b
], then theintegral exists. A function
g
is of bounded variation if and only if it is the difference between two monotonefunctions. If
g
is not of bounded variation, then there will be continuous functions which cannot be integrated withrespect to
g
. In general, the integral is not well-defined if
f
and
g
share any points of discontinuity, but this sufficientcondition is not necessary.On the other hand, a classical result of Young (1936) states that the integral is well-defined if
f
is
α
-Höldercontinuous and
g
is
β
-Hölder continuous with
α
+
β
> 1.
Application to probability theory
If
g
is the cumulative probability distribution function of a random variable
X
that has a probability density functionwith respect to Lebesgue measure, and
f
is any function for which the expected value E(|
f
(
X
)|) is finite, then theprobability density function of
X
is the derivative of
g
and we haveBut this formula does not work if
X
does not have a probability density function with respect to Lebesgue measure.In particular, it does not work if the distribution of
X
is discrete (i.e., all of the probability is accounted for bypoint-masses), and even if the cumulative distribution function
g
is continuous, it does not work if
g
fails to beabsolutely continuous (again, the Cantor function may serve as an example of this failure). But the identityholds if
g
is
any
cumulative probability distribution function on the real line, no matter how ill-behaved. Inparticular, no matter how ill-behaved the cumulative distribution function
g
of a random variable
X
, if the moment

RiemannStieltjes integral3E(
X
n
) exists, then it is equal to
Application to functional analysis
The Riemann
–
Stieltjes integral appears in the original formulation of F. Riesz's theorem which represents the dualspace of the Banach space
[
a
,
b
] of continuous functions in an interval [
a
,
b
] as Riemann
–
Stieltjes integrals againstfunctions of bounded variation. Later, that theorem was reformulated in terms of measures.The Riemann
–
Stieltjes integral also appears in the formulation of the spectral theorem for (non-compact) self-adjoint(or more generally, normal) operators in a Hilbert space. In this theorem, the integral is considered with respect to aspectral family of projections. See Riesz & Sz. Nagy (1955) for details.
Generalization
An important generalization is the Lebesgue
–
Stieltjes integral which generalizes the Riemann
–
Stieltjes integral in away analogous to how the Lebesgue integral generalizes the Riemann integral. If improper Riemann
–
Stieltjesintegrals are allowed, the Lebesgue integral is not strictly more general than the Riemann
–
Stieltjes integral.The Riemann
–
Stieltjes integral also generalizes to the case when either the integrand
ƒ
or the integrator
g
take valuesin a Banach space. If
g
: [
a
,
b
]
X
takes values in the Banach space
X
, then it is natural to assume that it is of
strongly bounded variation
, meaning thatthe supremum being taken over all finite partitionsof the interval [
a
,
b
]. This generalization plays a role in the study of semigroups, via the Laplace
–
Stieltjes transform.
References
Graves, Lawrence (1946),
The theory of functions of a real variable
, McGraw
–
Hill.Hildebrandt, T. H. (1938), "Definitions of Stieltjes Integrals of the Riemann Type",
The American Mathematical Monthly

45
(5): 265
–
278, ISSN 0002-9890, JSTOR 2302540, MR1524276.Hille, Einar; Phillips, Ralph S. (1974),
Functional analysis and semi-groups
, Providence, R.I.: AmericanMathematical Society, MR0423094.McShane, E. J. (1952), "Partial orderings & Moore-Smith limit"
[1]
,
The American Mathematical Monthly

59
:1
–
11, retrieved 02-11-2010.Pollard, Henry (1920), "The Stieltjes integral and its generalizations",
The Quarterly Journal of Pure and Applied  Mathematics

19
.Riesz, F.; Sz. Nagy, B. (1990),
Functional Analysis
, Dover Publications, ISBN 0-486-66289-6.Shilov, G. E.; Gurevich, B. L. (1978),
Integral, Measure, and Derivative: A Unified Approach
, DoverPublications, ISBN 0-486-63519-8, Richard A. Silverman, trans.Stroock, Daniel W. (1998),
A Concise Introduction to the Theory of Integration
(3rd ed.), Birkhauser,ISBN 0-8176-4073-8.Young, L.C. (1936), "An inequality of the Hölder type, connected with Stieltjes integration",
Acta Mathematica
67
(1): 251
–
282.