MEMOIRS OF THE AMERICAN MATHEMATICAL SOCIETY NUMBER 88 A RIEMANN-TYPE INTEGRAL THAT INCLUDES LEBESGUES-STIELTJES, BOCHNER AND STOCHASTIC INTEGRALS = E, J. MCSHANE Published by the AMERICAN MATHEMATICAL SOCIETY Providence, Rhode Island 1969MEMOIRS OF THE AMERICAN MATHEMATICAL SOCIETY NUMBER 88 A RIEMANN-TYPE INTEGRAL THAT INCLUDES LEBESGUES-STIELTJES, BOCHNER AND STOCHASTIC INTEGRALS by E. J. McSHANE Published by the AMERICAN MATHEMATICAL SOCIETY Providence, Rhode Island 1969A RIEMANN-TYPE INTEGRAL THAT INCLUDES LEBESGUE-STIELTJES, BOCHNER AND STOCHASTIC INTEGRALS By E. J. MCSHANE $1, Introduction Suppose that m is an additive function of intervals in R4, and that f is a real~ valued function whose domain D contains the closure of an interval B. If for each x in D and each interval A we define (a) UGA) = foymA, a "Riemann sum" will be a sum of the form © U(x, .A,) in which the Ay are disjoint and have union B. The traditional integral results if (i) we restrict xj to lie in the closure A;, (ii) restrict A; to lie in the $-neighborhood of x;, and take the limit as 6-0. In 1952 Botts and MeShane [13] defined a modified Riemann-Stieltjes integral in which restriction (i) is relaxed. More recently, a stochastic integral has been defined [14], [15] on intervals inR}, in which an essential feature is that x; shall lie to the left of Ay. In 1957 Kurzweil [11] defined a Riemann-type integral with the novel feature that 6 is a positive-valued function on R4 (with q = 1), Aj lying in the 6(x)-neighbor- hood of x; and x; in the closure of Aj. Kurzweil made use of this integral in proving theorems concerning a generalized type of differential equation, but did not study its properties beyond the needs of that research, This was done by R. Henstock {7], [8], who showed that the apparently small change introduced by Kurzweil produced an integral more general than the Lebesgue integral. Henstock studied the integral in detail; in particular, he showed that the Levi monotone convergence theorem holds. In this memoir we study the integrals defined as the limits of Riemann sums D U(x;,A;) in which the class of permitted pairs (x,A) and the nature of the limit process are subjected only to weak hypotheses. We do not even assume in all cases Research sponsored by Army Research Office under grant ARO-D 662. 1 Copyright ©1969 by the American Mathematical Society