Math 402 - Real Analysis

The Henstock-Kurzweil Integral

Steven Kao & Jocelyn Gonzales
April 28, 2015

1 Introduction to the
Henstock-Kurzweil Integral
Although the Riemann integral is the primary integration technique taught to undergraduates, there are
several drawbacks to the Riemann integral.
I. A lot of functions are not Riemann integrable. Recall that a bounded function is only Riemann
integrable if its set of discontinuities has measure zero. For example Dirichlet’s function:
(
1 x∈Q
g(x) =
0 x ∈ R\Q

is not Riemann integrable since U (f, P) = 1 and L(f, P) = 0. Thus, U (f, P) 6= L(f, P).
II. Every derivative is not Riemann integrable. We have seen in class that the function
  
 x2 sin 1

x 6= 0
f (x) = x2 (1)

0 x=0

on [−1, 1] has the derivative

     
 − 2 cos 1 + 2x sin 1

x 6= 0
f 0 (x) = x x2 x2 (2)

0 x=0

however f 0 (x) is unbounded on [−1, 1], thus it is not Riemann integrable.

Using the Riemann integral, the Fundamental Theorem of Calculus states if f : [a, b] → R is Riemann
integrable and F : [a, b] → R with F 0 (x) = f (x), ∀x ∈ [a, b], then
Z b
f = F (b) − F (a).
a

Thus, the Fundamental Theorem of Calculus requires that f be Riemann integrable. Since not every
derivative is Riemann integrable, the Riemann integral places a constraint on the Fundamental Theorem
of Calculus. For example, f might have an antiderivative F , but this does not imply that f is Riemann
integrable. Thus, the formula from the Fundamental Theorem of Calculus can not be applied.

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 The Lebesgue integral was introduced in 1902 by Henry Lebesgue. This integral centers around using the
range instead of the domain to integrate functions. Although the Lebesgue integral can integrate a larger
class of functions then the Riemann integral, it still has limitations. First, there are still a large number
of functions which can not be integrated using the Lebesgue integral. Also, the Lebesgue integral does not
guarantee that every derivative is integrable. For example, equation (1) is not Lebesgue integral. Thus, it
also adds additional constraints on the Fundamental Theorem of Calculus.
The desire to develop an integral that could integrate more functions and generalize the Fundamental
Theorem of Calculus motivated mathematicians Ralph Henstock and Jaroslav Kurzweil. In the 1960’s, both
Henstock and Kurzweil independently developed the Henstock-Kurzweil (HK) integral. The HK integral can
integrate a much larger class of functions than the Riemann integral and the Lebesgue integral. We will see
later that the HK integral can integrate the Dirichlet function. Also, using the HK integral, every derivative
is integrable. We will also see that using the generalized Riemann integral. the Fundamental Theorem of
Calculus can be made more general since we can eliminate the assumption that f is Riemann integrable.

Figure 1: Classification of Integrable Functions

Figure 2: Henstock and Kurzweil

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2 Gauges and δ-fine Partitions
We will begin with a few definitions.

Tagged Partition: Let P be a partition of the interval [a, b] with P = a = xo < x1 < x2 < ... < xn = b. A
tagged partittion (P, (ck )nk=1 ) is a partition which has selected points ck in each subinterval [xk−1 , xk ].

The Riemann sum using the tagged partition can be written

n
X
R(f, P) = f (ck )[xk , xk−1 ].
k=1

δ-fine: Let δ > 0. A partition P is δ-fine if every subinterval [xk−1 , xk ] satisfies xk − xk−1 < δ.

The definition for Riemann integrability can be restated as the following:

A bounded function f : [a, b] → R is Riemann integrable with
Rb
a
f = A if and only if for every  > 0, there exists a δ > 0 such
that, for any tagged partition (P, (ck )) that is δ-fine, it follows
that |R(f, P) − A| < .
Gauge: A function δ : [a, b] → R is called a gauge on [a, b] if δ(x) > 0 for all x ∈ [a, b].

The major difference between the HK integral and the Riemann integral is allowing δ to be a function
of x rather than a constant.

δ(x)-fine: Given a particular gauge δ(x), a tagged partition (P, (ck )nk=1 )
is δ(x)-fine if every subinterval [xk−1 , xk ] satisfies xk − xk−1 < δ(ck ).

If δ(x) is a constant function, then the definition of a δ(x)-fine partition is equivalent to the definition
of a δ-fine partition.

3 Examples of δ(x)-fine tagged partitions

Example 1
Consider the inverval [0, 1]. Let δ1 (x) = 1/9. We will find a δ1 (x)-fine tagged partition on [0, 1].

Since the gauge δ1 (x) is a constant function. Regardless of the choice of tag, δ1 (ck ) = 1/9. Thus, any
tagged partition (P, (ck )nk=1 ) in which xk − xk−1 < 1/9 is a δ1 (x)-fine tagged partition.

Consider the following partition, choosing each tag from every interval to be any number in that
inverval:  
1 1
m 0, <    
10 9 4 5 1 7 8 1
  m , < m , <
1 2 1 10 10 9 10 10 9
m , <    
10 10 9 5 6 1 8 9 1
  m , < m , <
2 3 1 10 10 9 10 10 9
m , <    
10 10 9 6 7 1 9 1
  m , < m ,1 <
3 4 1 10 10 9 10 9
m , <
10 10 9
This is an example of a δ1 (x)-fine tagged partition.

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Example 2
Again considering the interval [0, 1], let
(
1/4 x=0
δ2 (x) =
x/3 0 < x ≤ 1.

Consider the following partition, choosing the first tag from the first interval to be 0 and each tag from every
other interval to be the right hand end-point of that interval:
       
1 1 1 2 1 1 1 1
m 0, = < δ2 0 = m , = < δ2 =
5 5 4 5 2 10 2 6
       
1 1 1 1 1 1 3 1 3 1
m , = < δ2 = m , = < δ2 =
5 4 20 4 12 2 5 10 5 5
       
1 1 1 1 1 3 3 3 3 1
m , = < δ2 = m , = < δ2 =
4 3 12 3 9 5 4 20 4 4
       
1 2 1 2 2 3 1 1
m , = < δ2 = m ,1 = < δ2 1 =
3 5 15 5 15 4 4 3

This is an example of a δ2 (x)-fine tagged partition.

4 Theorem 1
Before we state and prove Theorem 1, we will first prove the Nested Interval Property, which will be used
in the proof of Theorem 1.

Nested Interval Property

For each n ∈ N, assume we are given a closed interval
In = [an , bn ] = {x ∈ R : an ≤ x ≤ bn }. Assume also that each In contains In+1 . Then, the resulting nested
sequence of closed intervals
I1 ⊇ I2 ⊇ I3 ⊇ . . .
T∞
has a nonempty intersection; that is, n=1 In 6= ∅.
Proof. Let Let A = {an : n ∈ N} be the left-hand endpoints of each interval. Since every interval is contained
inside of the previous interval, the bn terms are upper bounds for A. By the existence of a least upper bound,
since A has an upper bound, it must have a least upper bound. Let x = sup A. Because x is an upper bound
for A, then an ≤ x, ∀n. Also, since x is a least upperTbound of A, x ≤ bn , ∀n. Then we have an ≤ x ≤ bn ,
∞
∀n. Thus x ∈ In for every choice of n ∈ N. Thus x ∈ n=1 In and the intersection is not empty.

Theorem 1:
Given a gauge δ(x) on an interval [a, b], there exists a tagged partition (P, (ck )nk=1 ) that is δ(x)-fine.

Proof. Let δ(x) be a gauge on [a, b]. An algorithm to find a δ(x)-fine tagged partition is as follows. First
consider the trivial partition Po = {a = xo < x1 = b}. Then check to see if ∃ co ∈ [a, b] \ I such that
b − a < δ(co ). If such co exists, then choose (Po , (co )). Thus there exists a tagged partition which is δ(x)-
fine. If no co exists such that b − a < δ(co ), then bisect the interval into two equal halves. Consider the
partition
P1 = {a = xo < x1 < x2 = b}. Then apply the algorithm to each new half.

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We will now prove the algorithm must terminate in a finite number of steps. Assume that the algorithm
does not terminate in a finite number of steps. Then we have infinite nested intervals (In ) where m(In ) → 0.
Since the algorithm has not T∞terminated, this implies that δ(x) ≤ m(In ), ∀x ∈ In . By the Nested Interval
Property, we know ∃ xo ∈ n=1 In . Then δ(xo ) ≤ m(In ), ∀n ∈ N. But since m(In ) → 0, this implies that
δ(xo ) = 0. We draw a contradiction since by definition δ(x) > 0. Thus this algorithm must terminate after
a finite number of steps. Thus we can always create a tagged partition of [a, b] that is δ(x)-fine for a given
gauge.

5 Introducing the Henstock-Kurzweil (HK) integral

We now have the machinery to define the Henstock-Kurzweil integral:
Definition: A function f : [a, b] → R is Henstock-Kurzweil (HK) integrable if ∃ A ∈ R st. ∀ ε > 0, ∃ a gauge
δ : [a, b] → R st. for each tagged partition (P, (ck )nk=1 ) that is δ(x)-fine,

|R(f, P) − A| < ε
Rb Rb
In this case, we write a f = A, or HK a f = A (if we need to distinguish between different versions of
integrals) and say that f has an HK integral value of A.
Our first order of business is to make sure that if a function has an HK integral value, it can have only one
such value:
Theorem 2: If a function is HK integrable, its value is unique.
Proof. Suppose f : [a, b] → R is HK integrable and has values A1 and A2 . Let ε > 0 ⇒ ε/2 > 0.
By definition of HK integrable, ∃ a gauge δ1 : [a, b] → R st. ∀ tagged partitions (P1 , (ak )nk=1
1
) which are
δ1 (x)-fine,
|R(f, P1 ) − A1 | < ε/2 (3)
Similarly, ∃ a gauge δ2 : [a, b] → R st. ∀ tagged partitions (P2 , (bk )nk=1
2
) which are δ2 (x)-fine,

|R(f, P2 ) − A2 | < ε/2 (4)

Define δ : [a, b] → R to be δ(x) := min(δ1 (x), δ2 (x)).

Clearly δ is a gauge since δ(x) = δ1 (x) or = δ2 (x), both of which > 0, ∀ x ∈ [a, b].
Now let (P, (ck )nk=1 ) be an arbitrary tagged partition which is δ(x)-fine. Notice, (P, (ck )nk=1 ) is necessarily
δ1 (x)-fine and δ2 (x)-fine. This is because for any subinterval [xk−1 , xk ] with endpoints taken from P, we
have

xk − xk−1 < δ(ck ) ≤ δ1 (ck ) and

xk − xk−1 < δ(ck ) ≤ δ2 (ck )

Therefore,



0 ≤ |A1 − A2 | =  A1 − R(f, P) + R(f, P) − A2  “middle-man” trick
≤ |A1 − R(f, P)| + |R(f, P) − A2 | triangle ineq.
< ε/2 + ε/2 from (3), (4) since R(f, P) is δ1 (x) and δ2 (x)-fine
=ε

And since since ε is arbitrary ⇒ |A1 − A2 | = 0 ⇒ A1 = A2 .

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6 Dirichlet’s function, revisited
Now that we’ve shownR the value of an HK integral for an HK integrable function is well-defined, we are
1
ready to calculate HK 0 g, where g : [0, 1] → R is the Dirichlet function:
(
1, if x ∈ Q
g(x) :=
0, if x ∈ R \ Q
R1
Claim: HK 0 g = 0.
Proof. Let ε > 0. In order to prove the claim, we must construct a gauge δ : [0, 1] → R st. given an arbitrary
tagged partition (P, (ck )nk=1 ) which is δ(x)-fine,
n
X
|R(f, P) − 0| = g(ck )(xk − xk−1 ) < ε. (5)
k=1

Since the rationals are countable, we can list them as {r1 , r2 , r3 , . . . }.

Now define, (
ε/2i+1 , if x = ri ∈ Q
δ(x) := .
1, if x ∈ R \ Q
Notice the following three observations:
(i) The function δ is a gauge because δ(x) > 0, ∀ x ∈ [0, 1] since ε, 2, and 1 are all positive.
(ii) Because g(ck ) = 0 when ck is irrational, we can ignore these irrational tags and pass to the subsequence
(ckj )m n
j=1 consisting of all the rational elements of (ck )k=1 when evaluating the finite sum in (5).

(iii) Because a tag can be an endpoint of a subinterval, it’s possible for two different tags to have the same
value, corresponding to the right endpoint of one subinterval and the left endpoint of the successive
subinterval. It is not possible to have equal tags from non-successive subintervals, nor is it possible to
have three or more tags with the same value. This is true for both the original sequence of tags (ck )nk=1
and for the rational subsequence of tags (ckj )m
j=1 .

For example, suppose we have the sequence (c1 , c2 , . . . , c10 ). Then it’s possible for c3 = c4 , but not
for c3 = c5 nor c3 = c4 = c5 . Similarly, if we have the subsequence (ck1 , ck2 , . . . , ck6 ), it’s possible for
ck3 = ck4 but not for ck3 = ck5 nor ck3 = ck4 = ck5 .
By observation (ii), we can rewrite the lefthand side of inequality (5) as:
m
X
|R(f, P) − 0| = g(ckj )(xkj − xkj −1 )
j=1
Xm
= (xkj − xkj −1 ) g(ckj ) = 1 since ckj is rational
j=1
Xm
< δ(ckj ) since (P, (ck )nk=1 ) is δ(x)-fine
j=1
m
X ε
= def. of δ(x) where the ij ’s are finite subseq. of N+
j=1
2ij +1
∞
X ε
<2· i+1
by observation (iii)
i=1
2
1/4
= 2ε · = ε geometric series,
1 − 1/2

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which is what we needed to show.
Remark: Having a gauge allows us to control the length of each subinterval, enabling us to “encapsulate”
sets of measure zero. So essentially, the characteristics of the Lebesgue integral is “built into” the HK
integral. Also notice, if ε < 1, it is not possible to form a tagged partition which is δ(x)-fine and which
consists only of rational tags, because when you add up the lengths of the subintervals in such a partition,
the sum will be less than 1.

7 The Fundamental Theorem of Calculus

Now we come to the main feature of the Henstock-Kurzweil integral, that which sets it apart from both the
Riemann and Lebesgue integrals and allows for a larger class of functions to be integrable.
Theorem 3: (The Fundamental Theorem of Calculus). Let F : [a, b] → R and f : [a, b] → R be functions.
Suppose F is differentiable on [a, b] st. F 0 (x) = f (x), ∀ x ∈ [a, b]. Then,
Z b
HK f = F (b) − F (a).
a

Remark: Notice that the Fundamental Theorem of Calculus for HK integrals does NOT require any ad-
ditional assumptions on f , unlike the Riemann integral version which requires f to be Riemann integrable
and even the Lebesgue version, which requires f to be absolutely continuous.
ε
Proof. Assume conditions and let ε > 0 ⇒ 2(b−a) > 0 since 2(b − a) > 0. As before, we must construct a
gauge δ : [0, 1] → R st. given an arbitrary tagged partition (P, (ck )nk=1 ) which is δ(c)-fine,

|(F (b) − F (a)) − R(f, P)| < ε (6)

(The reason why we switched to using ‘c’ as our variable instead of ‘x’ will soon be clear.)
There are three key observations.
First, since F (c) is differentiable ∀ c ∈ [a, b] with derivative equal to f (c), by Newton’s approximation:

ε|x − c|
∃ δ(c) > 0 st. ∀ |x − c| ≤ δ(c), |F (x) − F (c) − f (c)(x − c)| ≤ . (7)
2(b − a)

In other words, the value of δ depends on the choice of c, since we only have regular continuity in our
assumption, not uniform continuity. Since δ(c) > 0 ∀ c ∈ [a, b], it is exactly this δ(c) that will be our gauge!
Second, for an arbitrary subinterval [xk−1 , xk ] and its tag ck ∈ [xk−1 , xk ], we have the following:

|xk − xk−1 | = xk − xk−1 since xk > xk−1

= (xk − ck ) + (ck − xk−1 ) adding 0 and associativity
= |xk − ck | + |ck − xk−1 | since xk ≥ ck and ck ≥ xk−1
⇒ |xk − ck | ≤ |xk − xk−1 | < δ(ck ), by transitivity and because (8)
⇒ |ck − xk−1 | ≤ |xk − xk−1 | < δ(ck ) (P, (ck )nk=1 ) is δ(c)-fine (9)

From (7) and (8) we get:

ε|xk − ck | ε(xk − ck )
|F (xk ) − F (ck ) − f (ck )(xk − ck )| ≤ = , (10)
2(b − a) 2(b − a)

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since xk > ck .
And from (7) and (9) we get:

ε|xk−1 − ck | ε(ck − xk−1 )

|F (xk−1 ) − F (ck ) − f (ck )(xk−1 − ck )| ≤ =
2(b − a) 2(b − a)
ε(ck − xk−1 )
⇒ | − 1| · |F (xk−1 ) − F (ck ) − f (ck )(xk−1 − ck )| ≤
2(b − a)
ε(ck − xk−1 )
⇒ | − F (xk−1 ) + F (ck ) − f (ck )(−xk−1 + ck )| ≤ (11)
2(b − a)

Putting all this together,

|F (xk ) − F (xk−1 ) − f (ck )(xk − xk−1 )| =

|F (xk ) + (−F (ck ) + F (ck )) − F (xk−1 ) − f (ck )(xk + (−ck + ck ) − xk−1 )|,

by the middle-man trick.

≤ |F (xk ) − F (ck ) − f (ck )(xk − ck )| + | − F (xk−1 ) + F (ck ) − f (ck )(−xk−1 + ck )|,

by triangle inequality. So,

ε(xk − ck ) ε(ck − xk−1 )

|F (xk ) − F (xk−1 ) − f (ck )(xk − xk−1 )| ≤ +
2(b − a) 2(b − a)
ε(xk − xk−1 )
= (12)
2(b − a)

by (10) and (11).

Summing (12) over the tagged partition (P, (ck )nk=1 ):
n n
X X ε(xk − xk−1 )
|F (xk ) − F (xk−1 ) − f (ck )(xk − xk−1 )| ≤
2(b − a)
k=1 k=1
ε(xn − x0 )
=
2(b − a)
ε(b − a) ε
= = (13)
2(b − a) 2

because the sum is telescoping and xn = b and x0 = a by construction of our partition P.

Third, notice that:
n
X
(F (xk ) − F (xk−1 )) = (F (x1 ) − F (x0 )) + (F (x2 ) − F (x1 )) + · · · + (F (xn ) − F (xn−1 ))
k=1
= F (xn ) − F (x0 ) telescoping finite sum
= F (b) − F (a) by construction of our partition P (14)

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Finally, we are ready to show (6) holds:
 
Xn Xn 
|(F (b) − F (a)) − R(f, P)| =  (F (xk ) − F (xk−1 )) − f (ck )(xk − xk−1 ) by (14) & def. of Riem. sum
 
 
k=1 k=1

Xn 
= F (xk ) − F (xk−1 ) − f (ck )(xk − xk−1 )
 
 
k=1
n 
X 
≤ F (xk ) − F (xk−1 ) − f (ck )(xk − xk−1 ) by finite triangle inequality
 
k=1
ε
≤ <ε by (13),
2
which is what we needed to show.

8 Closing Thoughts
Obviously, we have just barely scratched the surface of the power of the Henstock-Kurzweil integral. But
just to give a glimpse of its versatility, we leave the reader with two facts (which we will not prove) of the
HK integral:

(i) The HK integral integrates:

(a) all functions which have anti-derivatives
(b) all Riemann integrable functions
(c) all Lebesgue integrable functions
(d) all functions that can be obtained as “improper integrals”

(ii) The HK integral has theorems which generalize

(a) the Monotone Convergence Theorem
(b) the Dominated Convergence Theorems of measure theory

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9 References
Abbott, Stephen. Understanding Analysis. New York: Springer, 2001. Print.

Bartle, Robert Gardner. A Modern Theory of Integration. Providence, RI: American Mathematical So-
ciety, 2001. Print.

Herschlag, Greg. “A Brief Introduction to Gauge Integration.”

http://www.math.uchicago.edu/ may/VIGRE/VIGRE2006/PAPERS/Herschlag.pdf.[23 Apr. 2015. Web.]

McKinnis, Erik O. “Gauge Integration.” (2002): Web.

“Oberwolfach Photo Collection.” Details: Ralph Henstock, Jaroslav Kurzweil. Web. 28 Apr. 2015.

“Prove the Derivative Is Not Lebesgue Integrable.” Math Stack Exchange. Web. 28 Apr. 2015.
¡http://math.stackexchange.com/questions/836996/prove-the-derivative-of-x2-sin-1-x2-is-not-lebesgue-integrable-
on-0-1¿.

Tao, Terence. Analysis I. New Delhi: Hindustan, 2009. Print.

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