The Kurzweil-Henstock Integral and Its Extensions: A Historical Survey

The Kurzweil-Henstock integral and
its extensions : a historical survey

Jean Mawhin
Université Catholique de Louvain
The Kurzweil-Henstock integral and its extensions : a historical survey – p.1/29

This lecture is dedicated to the memory of my friend
S TEFAN S CHWABIK,
an enthusiastic ambassador of the Kurzweil-Henstock integral,
and a great friend of many mathematicians of Sao Carlos

I. A short history of integration

Cauchy
1823 : Résumé des leçons données à l’École royale
polytechnique sur le calcul infinitésimal
“In the integral calculus, it seemed to me necessary to prove in a
general way the existence of the integral of primitivable functions
before letting their various properties to be known.
To reach this aim, it was first necessary to establish the notion of
integral taken between given limit or definite integrals.
As those last ones can be sometimes infinite or undeterminated, it
was essential to search in which case they keep a unique and finite
value”

Integral of a continuous function
f : [a, b] → R continuous
P-partition of [a, b] : Π := (xj , I j )1≤j≤m , I j = [aj−1 , aj ]
a = a0 < a1 < . . . < am−1 < am = b, xj ∈ I j
length of I j : |I j | = aj − aj−1
mesh of Π : M (Π) = max1≤j≤m |I j |

a = a0 < a1 < . . . < am−1 < am = b, xj ∈ I j
22-23th lectures : f continuous on [a, b] ⇒ ∃ ! J ∈ R,

Pm
∀ ε > 0, ∃ η > 0, ∀ Π : M (Π) ≤ η : |J − j=1 f (xj )|I j || ≤ ε
Rb
J = a f (x) dx : definite integral of f on [a, b]
continuity on [a, b] ⇔ uniform continuity on [a, b]

a = a0 < a1 < . . . < am−1 < am = b, xj ∈ I j
22-23th lectures : f continuous on [a, b] ⇒ ∃ ! J ∈ R,

Pm
∀ ε > 0, ∃ η > 0, ∀ Π : M (Π) ≤ η : |J − j=1 f (xj )|I j || ≤ ε
Rb
J = a f (x) dx : definite integral of f on [a, b]
continuity on [a, b] ⇔ uniform continuity on [a, b]
Rb
f∈ C 1 ([a, b]) a⇒f ′ = f (b) − f (a)
R· 1
R x ′
f ∈ C([a, b]) ⇒ a f ∈ C ([a, b]), a f = f (x)

Cauchy and Riemann
AUGUSTIN C AUCHY B ERNHARD R IEMANN

1789–1857 1826–1866

Riemann
1854 : Habilitation thesis University of Göttingen
(published 1867)
“The uncertainty which still prevails on some fundamental points of
the theory of definite integrals forces us to place here a few remarks
on the notion of definite integral, and on its possible generality.
Rb
And first, what do we mean by a f (x) dx ?”

Riemann
1854 : Habilitation thesis University of Göttingen
(published 1867)
“The uncertainty which still prevails on some fundamental points of
the theory of definite integrals forces us to place here a few remarks
on the notion of definite integral, and on its possible generality.
Rb
And first, what do we mean by a f (x) dx ?”
f : [a, b] → R is R-integrable on [a, b] if ∃ J ∈ R,

Pm
∀ ε > 0, ∃ η > 0, ∀ Π, M (Π) ≤ η : |J − j=1 f (xj )|I j || ≤ ε
Pm
S(f, Π) := j=1 f (xj )|I j | : Riemann sum for f and Π
Rb
J = a f is the R-integral of f on [a, b]
R-integrable functions are the ones for which C AUCHY’s limit
process made for continuous functions works

Range of R-integration
R IEMANN : “Let us search now the range and the limit of the
preceding definition and let us ask the question :
in which case is a function integrable ?
And in which case not integrable ?”

although modeled on C AUCHY’s process for (uniformly) continuous
functions, R-integrable functions may have a dense set of
discontinuities
however, 1Q is not R-integrable on any interval
R-integrable functions are characterized in terms of some ‘measure’
of their set of discontinuities

although modeled on C AUCHY’s process for (uniformly) continuous
functions, R-integrable functions may have a dense set of
discontinuities
however, 1Q is not R-integrable on any interval
R-integrable functions are characterized in terms of some ‘measure’
of their set of discontinuities
indefinite R-integral of f not differentiable at points of discontinuity
of f
∃ bounded derivatives not R-integrable (VOLTERRA)

Lebesgue
1902 : PhD thesis, Annali di Mat. Pura Appl.
“In the case of continuous functions, the notions of [indefinite]
integral and of primitive are identical.
Riemann has defined the integral of some discontinuous functions,
but all derivatives are not integrable in Riemann sense.
The problem of the primitive functions is therefore not solved by
[R-]integration, and one can wish to have a definition of the integral
containing as special case that of Riemann and solving the problem
of the primitives”

L-integral
based upon a concept of measure of a bounded set A ⊂ R
introduced by B OREL and developed by L EBESGUE
P∞
outer measure µe (A) of A ⊂ [c, d] : inf j=1 (dj − cj ) for
all sequences {[cj , dj ]}j∈N : A ⊂ ∪∞
j=1 [cj , dj ]
inner measure µi (A) = (d − c) − µe ([c, d] \ A)
A measurable : µe (A) = µi (A) (measure µ(A) of A )

L-integral
based upon a concept of measure of a bounded set A ⊂ R
introduced by B OREL and developed by L EBESGUE
P∞
outer measure µe (A) of A ⊂ [c, d] : inf j=1 (dj − cj ) for
all sequences {[cj , dj ]}j∈N : A ⊂ ∪∞
j=1 [cj , dj ]
inner measure µi (A) = (d − c) − µe ([c, d] \ A)
A measurable : µe (A) = µi (A) (measure µ(A) of A )
f : [a, b] → R bounded is L- integrable on [a, b] if
∀ c < d in range of f, f −1 ([c, d)) is measurable
∃ J ∈ R, ∀ ε > 0, ∃ η > 0, ∀ P-partition
Π = (yj , [bj−1 , bj ])1≤j≤m of [inf [a,b] f, sup[a,b] f ], M (Π) ≤ η :
Pm −1
|J − j=1 yj µ f ([bj−1 , bj )) | ≤ ε
Rb
J = a f (x) dx is the L-integral of f on [a, b]

Borel and Lebesgue
É MILE B OREL H ENRI L EBESGUE

1871–1956 1875–1941

Comparing the R- and L- integrals
approximating sums depend upon measure theory
f R-integrable ⇔ µ(set of discontinuities of f ) = 0
′
Rb ′
f differentiable on [a, b] , f bounded ⇒ a f = f (b) − f (a)
R·
f L-integrable on [a, b] ⇒ a f differentiable with derivative f
outside of a subset of [a, b] of measure zero

Comparing the R- and L- integrals
approximating sums depend upon measure theory
f R-integrable ⇔ µ(set of discontinuities of f ) = 0
′
Rb ′
f differentiable on [a, b] , f bounded ⇒ a f = f (b) − f (a)
R·
f L-integrable on [a, b] ⇒ a f differentiable with derivative f
outside of a subset of [a, b] of measure zero
extension to unbounded functions
f R- or L-integrable ⇒ |f | R- or L-integrable
f primitivable on [a, b] is L-integrable on [a, b] ⇔ F has
bounded variation on [a, b]
f (x) = 2x sin x12 − x2 cos x12 if x 6= 0, f (0) = 0
f = F ′ with F (x)x2 sin x12 if x 6= 0, F (0) = 0
f is not L-integrable near 0

Denjoy-Perron integral
1912 : D ENJOY (transfinite induction argument from L-integral) :
D-integral integrating all derivatives
1914 : P ERRON (inspired by DE L A VALL ÉE -P OUSSIN’s
characterization of L-integrability) :
P-integral integrating all derivatives
F+ [F− ] over-function [under-function] of f on [a, b] if
F± (a) = 0, F+′ (x) ≥ f (x) [F−′ (x) ≤ f (x)] ∀ x ∈ [a, b]
f P-integrable on [a, b] : supF− F− (b) = inf F+ F+ (b)
common value = P-integral of f on [a, b]

Denjoy-Perron integral
1912 : D ENJOY (transfinite induction argument from L-integral) :
D-integral integrating all derivatives
1914 : P ERRON (inspired by DE L A VALL ÉE -P OUSSIN’s
characterization of L-integrability) :
P-integral integrating all derivatives
F+ [F− ] over-function [under-function] of f on [a, b] if
F± (a) = 0, F+′ (x) ≥ f (x) [F−′ (x) ≤ f (x)] ∀ x ∈ [a, b]
f P-integrable on [a, b] : supF− F− (b) = inf F+ F+ (b)
common value = P-integral of f on [a, b]
f D-integrable on [a, b] ⇔ f P-integrable on [a, b]
f L-integrable on [a, b] ⇔ f and |f | DP-integrable on [a, b]
first half of XXth century : many equivalent definitions of L- and
DP-integral
Denjoy and Perron
A RNAUD D ENJOY O SKAR P ERRON

1884–1974 1880–1975

KH-integral
1957 : K URZWEIL, new definition of P-integral of f : [a, b] → R
f K-integrable on [a, b] : ∃ J ∈ R, ∀ ε > 0, ∃ δ : [a, b] → R+ ,
∀ Π, xj − δ(xj ) ≤ aj−1 < aj ≤ xj + δ(xj ) (1 ≤ j ≤ m),
|J − S(f, Π)| ≤ ε
Π called δ -fine, δ called gauge on [a, b]
K-integral ⇔ P-integral

KH-integral
1957 : K URZWEIL, new definition of P-integral of f : [a, b] → R
f K-integrable on [a, b] : ∃ J ∈ R, ∀ ε > 0, ∃ δ : [a, b] → R+ ,
∀ Π, xj − δ(xj ) ≤ aj−1 < aj ≤ xj + δ(xj ) (1 ≤ j ≤ m),
|J − S(f, Π)| ≤ ε
Π called δ -fine, δ called gauge on [a, b]
K-integral ⇔ P-integral
1961 : independent rediscovery by H ENSTOCK
H ENSTOCK gives many generalizations and applications
Rb
J = a f Kurzweil-Henstock or KH-integral or gauge integral of
f on [a, b]
constant gauge in KH-definition ⇔ R-integral

Henstock and Kurzweil
R ALPH H ENSTOCK J AROSLAV K URZWEIL

1923-2007 born in 1928

δ-fine P-partitions
constant gauge δ : δ -fine P-partition easily constructed
arbitrary gauge δ : existence of a δ -fine P-partition has to be proved
1895 : done by C OUSIN in a different context (Cousin’s lemma)
equivalent to the Borel-Lebesgue property (1894, 1902) for a
compact interval
proof depends upon the non-empty intersection property of a nested
sequence of closed intervals

II. A ‘history-fiction’ of integration

Another road for Cauchy
C AUCHY’s aim : construct integral calculus for derivatives
(fundamental objects in N EWTON -L EIBNIZ’s calculus)
mimick C AUCHY’s approach for continuous functions
f : [a, b] → R differentiable, with derivative f ′ : [a, b] → R
∀ ε > 0, ∀ x ∈ [a, b], ∃ δ(x) > 0, ∀y ∈ [a, b], |y − x| ≤ δ(x) :
|f (y) − f (x) − f ′ (x)(y − x)| ≤ ε|y − x|/(b − a)
|f (z) − f (y) − f ′ (x)(z − y)| ≤ ε(z − y)/(b − a)
if x − δ(x) ≤ y ≤ x ≤ z ≤ x + δ(x)
Π δ − fine ⇒ |f (aj ) − f (aj−1 ) − f ′ (xj )(aj − aj−1 )|
≤ ε(aj − aj−1 )/(b − a) (1 ≤ j ≤ m)
Π δ − fine ⇒ |f (b) − f (a) − S(f ′ , Π)| ≤ ε
δ non constant because differentiability on [a, b] 6⇒ uniform
differentiability on [a, b]
Cauchy, Riemann, Weierstrass ?
“C AUCHY ” : f : [a, b] → R differentiable ⇒ ∀ ε > 0, ∃ gauge δ
on [a, b], ∀ δ -fine Π : |f (b) − f (a) − S(f ′ , Π)| ≤ ε
“R IEMANN ” : f : [a, b] → R is integrable on [a, b] if ∃ J ∈ R,
∀ ε > 0, ∃ gauge δ on [a, b], ∀ δ -fine Π : |J − S(f, Π)| ≤ ε
Rb
J= a f KH-integral of f on [a, b]

Rb
existence of δ -fine P-partition : C AUCHY ? R IEMANN ?
W EIERSTRASS ?
if yes, B OREL -L EBESGUE -C OUSIN lemma, Denjoy-Perron’s integral
and Borel-Lebesgue’s measure of a bounded set of R could have
arrived half a century before

Rb
existence of δ -fine P-partition : C AUCHY ? R IEMANN ?
W EIERSTRASS ?
if yes, B OREL -L EBESGUE -C OUSIN lemma, Denjoy-Perron’s integral
and Borel-Lebesgue’s measure of a bounded set of R could have
arrived half a century before
tragical consequence : D ENJOY, P ERRON , K URZWEIL and
H ENSTOCK disappear in our fiction : DPKH-integral is just the
integral defined by “R IEMANN ”

Qualities and defects of KH-integral
qualities :
Rb
a f ′ = f (b) − f (a) for all differentiable f
improper integrals are real integrals (H AKE’s theorem)
monotone and dominated convergence theorems
(nice proof by H ENSTOCK)
E ⊂ [a, b] measurable : 1E integrable on [a, b]
Rb
measure µ(E) := a 1E
change of variable theorem

Qualities and defects of KH-integral
qualities :
Rb
a f ′ = f (b) − f (a) for all differentiable f
improper integrals are real integrals (H AKE’s theorem)
monotone and dominated convergence theorems
(nice proof by H ENSTOCK)
E ⊂ [a, b] measurable : 1E integrable on [a, b]
Rb
measure µ(E) := a 1E
change of variable theorem
defects :
restriction property holds only for finite families of
non-overlapping subintervals, may already fail for a countable
union of such intervals
due to the non-absolute character of the integral

We must save the soldier Lebesgue
wanted : an integral with better restriction property
f L-integrable on [a, b] if f and |f | are integrable on [a, b]
f L-integrable on [a, b] ⇒ f L-integrable on any measurable
E ⊂ [a, b]
integrability of an unbounded derivative may be lost
Hake’s property may be lost (there exists improper L-integrals)

We must save the soldier Lebesgue
wanted : an integral with better restriction property
f L-integrable on [a, b] if f and |f | are integrable on [a, b]
f L-integrable on [a, b] ⇒ f L-integrable on any measurable
E ⊂ [a, b]
integrability of an unbounded derivative may be lost
Hake’s property may be lost (there exists improper L-integrals)
can attribute to L EBESGUE the introduction and emphasis on this
important subclass of integrable functions
absolute character makes it a better tool for functional analysis
(Lebesgue spaces Lp (a, b) are Banach spaces)

III. Higher dimensions

n-dimensional KH-integral
(closed) n-interval I = I1 × . . . × In , |I| n-volume of I
P-partition of I : Π := {(xj , I j )}1≤j≤m , xj ∈ I j
I j ⊂ I non-overlapping n-intervals, ∪m
j=1 I j =I
gauge on I : δ : I → R+ ; Π δ -fine : ∀ j : I j ⊂ B[xj , δ(xj )]

Pm j )|I j |
f : I → R , Riemann sum : S(f, Π) := j=1 f (x
f KH-integrable on I : ∃ J ∈ R, ∀ ε > 0, ∃ gauge δ on I,
∀ δ−fine Π : |J − S(f, Π)| ≤ ε
R
J = I f is the KH-integral of f on I
R
E ⊂ I measurable if 1E KH-integrable on I , µ(E) := I 1E
Fubini, monotone and dominated convergence thms
no change of variables thm, restriction to finite union of n-intervals
f L-integrable on I : f and |f | KH-integrable on I
n-dim. fundamental thm of calculus
vR ∈ C 1 (A, RRn ), A ⊂ Rn , ∂A ‘nice’
A div v = ∂A hv, nA i, nA outer normal on ∂A, |nA | = 1
∃ v : I → Rn differentiable : div v not KH-integrable on I
mimick proof of fundamental theorem for n = 1
∀ ε > 0, ∀ x ∈ I, ∃ δ(x) > 0, ∀ y ∈ B[x, δ(x)] :
kv(y) − v(x) − v ′ (x)(y − x)k ≤ ε2 ky − xk
∀ x ∈ I, wx := v(x) + v ′ (x)(· − x) ∈ C ∞ (Rn , Rn )
Π = {(xj , I j )}1≤j≤m δ -fine ⇒
j j
R R
j hw xj , nI j i = j div w xj = div v(x )|I |
R∂I I
j j
R
∂I j hv, nI j i − div v(x )|I | = ∂I j hv − wxj , nI j i
kv(y) − wxj (y)k ≤ ε2 ky − xj k ∀ y ∈ I j , ∀ j = 1, . . . , m

n-dim. fundamental thm of calculus
R Pm R
k ∂I hv, nI i − S(div v, Π)k ≤ j=1 k ∂I j hwxj − v, nIj ik
2
Pm j ) |∂I j | := ε2 σ(Π)
≤ε j=1 d(I
σ(Π) irregularity of Π, d(I j ) diameter of I j
|∂I j | (n-1)-dimensional measure of ∂I j
R
k ∂I hv, nI i − S(div v, Π)k ≤ ε if one adds to Π δ -fine the
irregularity restriction σ(Π) ≤ ε−1
j j
geometrical meaning : I j = I1 × . . . × In ,
2n|I j |
d(I j ) = max1≤k≤n |Ikj |, |∂I j | ≤
min1≤k≤n |Ikj |
max1≤k≤n |Ikj |
σ(Π) ≤ 2n max1≤j≤m min j |I| := 2n σ0 (Π) |I|
1≤k≤n |Ik |
R
k ∂I hv, nI i − S(div v, Π)k ≤ ε if Π satisfies the stronger
1
irregularity restriction : σ0 (Π) ≤ 2nε|I|

Generalized KH-integrals on n-intervals
f : I ⊂ Rn → R, I n-interval
1981, M. : M-integrable on I if ∃ J ∈ R, ∀ ε > 0, ∃ gauge δ
1
on I, ∀ δ -fine Π, σ0 (Π) ≤ 2nε|I| : |S(f, Π) − J| ≤ ε
1983, J ARNIK , K URZWEIL , S CHWABIK : M1 -integrable on I :
1
replace σ0 (Π) ≤ 2nε|I| by σ(Π) ≤ ε−1
1986, P FEFFER : Pf-integrable on I , using irregularity with

respect to a finite family of planes parallel to the coordinate axes
1992, J ARNIK , K URZWEIL : ext-integrable on I if f extended
by 0 on some n-interval L ⊃ int L ⊃ I is M-integrable on L
M1 -int ⇒ Pf-int ⇔ ext-int ⇒ M-int
all properties of KH-integral except Fubini’s thm; divergence thm for
differentiable vector field; no change of variable thm

n
Generalized KH-integrals on M ⊂ R
f : M ⊂ Rn → R, M compact
1985, 1988, J ARNIK , K URZWEIL : PU-integral on M ,
PU-partition defined from a suitable partition of unity, irregularity
modelled on σ
1991, P FEFFER : v-integral on BV-set M , v continuous outside
of a set of (n-1)-Hausdorff measure zero and almost differentiable
outside a set of σ -finite (n-1)-Hausdorff measure
1991, K URZWEIL , M., P FEFFER : G-integral on BV-set M , BV
partitions of unity; same divergence thm
2001, P FEFFER : R-integral on BV-set M , based on charges
2004, D E PAUW, P FEFFER : apply R-integral to obtain removable
sets of singularities of elliptic equations
other results by J URKAT, N ONNENMACHER , B UCZOLICH ,
P LOTNIKOV, F LEISCHER , K UNCOV Á , M AL Ý , M OONENS. . .
Thank you for your patience !
More details and references in
B. B ONGIORNO, The Henstock-Kurzweil integral, Handbook of
Measure Theory, Elsevier, 2002, 587-615
T H . D E PAUW, Autour du théorème de la divergence, Panorama et
synthèses 18 (2004), 85-121
J. M AWHIN, Two histories of integration theory : riemannesque vs
romanesque, Bull. Cl. Sci. Acad. Roy. Belgique (6) 18 (2007) 47-63
W.F. P FEFFER, The Riemann Approach to Integration : Local
Geometric Theory, Cambridge, 1993
W.F. P FEFFER, Derivation and Integration, Cambridge, 2001
W.F. P FEFFER, The Divergence Theorem and Sets of Finite
Perimeter, Chapman and Hall/CRC, 2012

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The Kurzweil-Henstock integral and

its extensions : a historical survey

Université Catholique de Louvain

The Kurzweil-Henstock integral and its extensions : a historical survey – p.1/29

The Kurzweil-Henstock integral and its extensions : a historical survey – p.2/29

The Kurzweil-Henstock integral and its extensions : a historical survey – p.3/29

The Kurzweil-Henstock integral and its extensions : a historical survey – p.4/29

The Kurzweil-Henstock integral and its extensions : a historical survey – p.5/29

22-23th lectures : f continuous on [a, b] ⇒ ∃ ! J ∈ R,

The Kurzweil-Henstock integral and its extensions : a historical survey – p.5/29

22-23th lectures : f continuous on [a, b] ⇒ ∃ ! J ∈ R,

The Kurzweil-Henstock integral and its extensions : a historical survey – p.5/29

AUGUSTIN C AUCHY B ERNHARD R IEMANN

The Kurzweil-Henstock integral and its extensions : a historical survey – p.6/29

The Kurzweil-Henstock integral and its extensions : a historical survey – p.7/29

f : [a, b] → R is R-integrable on [a, b] if ∃ J ∈ R,

The Kurzweil-Henstock integral and its extensions : a historical survey – p.7/29

The Kurzweil-Henstock integral and its extensions : a historical survey – p.8/29

The Kurzweil-Henstock integral and its extensions : a historical survey – p.8/29

The Kurzweil-Henstock integral and its extensions : a historical survey – p.8/29

The Kurzweil-Henstock integral and its extensions : a historical survey – p.9/29

The Kurzweil-Henstock integral and its extensions : a historical survey – p.10/29

The Kurzweil-Henstock integral and its extensions : a historical survey – p.10/29

É MILE B OREL H ENRI L EBESGUE

The Kurzweil-Henstock integral and its extensions : a historical survey – p.11/29

The Kurzweil-Henstock integral and its extensions : a historical survey – p.12/29

The Kurzweil-Henstock integral and its extensions : a historical survey – p.12/29

The Kurzweil-Henstock integral and its extensions : a historical survey – p.13/29

A RNAUD D ENJOY O SKAR P ERRON

The Kurzweil-Henstock integral and its extensions : a historical survey – p.14/29

The Kurzweil-Henstock integral and its extensions : a historical survey – p.15/29

The Kurzweil-Henstock integral and its extensions : a historical survey – p.15/29

R ALPH H ENSTOCK J AROSLAV K URZWEIL

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The Kurzweil-Henstock integral and its extensions : a historical survey – p.20/29

The Kurzweil-Henstock integral and its extensions : a historical survey – p.20/29

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The Kurzweil-Henstock integral and its extensions : a historical survey – p.21/29

The Kurzweil-Henstock integral and its extensions : a historical survey – p.22/29

The Kurzweil-Henstock integral and its extensions : a historical survey – p.22/29

The Kurzweil-Henstock integral and its extensions : a historical survey – p.23/29

gauge on I : δ : I → R+ ; Π δ -fine : ∀ j : I j ⊂ B[xj , δ(xj )]

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The Kurzweil-Henstock integral and its extensions : a historical survey – p.26/29

1986, P FEFFER : Pf-integrable on I , using irregularity with

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The Kurzweil-Henstock integral and its extensions : a historical survey – p.29/29

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