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| In [[mathematics]], the '''Riemann–Stieltjes integral''' is a generalization of the [[Riemann integral]], named after [[Bernhard Riemann]] and [[Thomas Joannes Stieltjes]]. The definition of this integral was first published in 1894 by Stieltjes. It serves as an instructive and useful precursor of the [[Lebesgue integral]].
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| ==Definition==
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| The Riemann–Stieltjes [[integral]] of a [[real number|real]]-valued function ''f'' of a real variable with respect to a real function ''g'' is denoted by
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| :<math>\int_a^b f(x) \, dg(x)</math>
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| and defined to be the limit, as the [[partition of an interval|mesh]] of the [[partition of an interval|partition]] | |
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| :<math>P=\{ a = x_0 < x_1 < \cdots < x_n = b\}</math>
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| of the interval [''a'', ''b''] approaches zero, of the approximating sum
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| :<math>S(P,f,g) = \sum_{i=0}^{n-1} f(c_i)(g(x_{i+1})-g(x_i))</math>
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| where ''c''<sub>''i''</sub> is in the ''i''-th subinterval [''x''<sub>''i''</sub>, ''x''<sub>''i''+1</sub>]. The two functions ''f'' and ''g'' are respectively called the integrand and the integrator. | |
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| 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''<sub>''i''</sub> in [''x''<sub>''i''</sub>, ''x''<sub>''i''+1</sub>],
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| :<math>|S(P,f,g)-A| < \varepsilon. \, </math>
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| ===Generalized Riemann–Stieltjes integral===
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| A slight generalization, introduced by {{harvtxt|Pollard|1920}} and now standard in analysis, is to consider in the above definition partitions ''P'' that ''refine'' another partition ''P''<sub>''ε''</sub>, meaning that ''P'' arises from ''P''<sub>''ε'''</sub> by the addition of points, rather than from partitions with a finer mesh. Specifically, the '''generalized Riemann–Stieltjes integral''' of ''f'' with respect to ''g'' is a number ''A'' such that for every ''ε'' > 0 there exists a partition ''P''<sub>''ε''</sub> such that for every partition ''P'' that refines ''P''<sub>''ε''</sub>,
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| :<math>|S(P,f,g) - A| < \varepsilon \, </math>
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| for every choice of points ''c''<sub>''i''</sub> in [''x''<sub>''i''</sub>, ''x''<sub>''i''+1</sub>].
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| This generalization exhibits the Riemann–Stieltjes integral as the [[Moore–Smith limit]] on the [[directed set]] of partitions of [''a'', ''b''] {{harv|McShane|1952}}. {{harvtxt|Hildebrandt|1938}} calls it the '''Pollard–Moore–Stieltjes integral'''.
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| ===Darboux sums===
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| The Riemann–Stieltjes integral can be efficiently handled using an appropriate generalization of [[Darboux sum]]s. For a partition ''P'' and a nondecreasing function ''g'' on [''a'', ''b''] define the upper Darboux sum of ''f'' with respect to ''g'' by
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| :<math>U(P,f,g) = \sum_{i=1}^n \sup_{x\in [x_i,x_{i+1}]} f(x)\,\,(g(x_{i+1})-g(x_i))</math>
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| and the lower sum by
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| :<math>L(P,f,g) = \sum_{i=1}^n \inf_{x\in [x_i,x_{i+1}]} f(x)\,\,(g(x_{i+1})-g(x_i)).</math>
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| Then the generalized Riemann–Stieltjes of ''f'' with respect to ''g'' exists if and only if, for every ε > 0, there exists a partition ''P'' such that
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| :<math>U(P,f,g)-L(P,f,g) < \varepsilon.</math>
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| Furthermore, ''f'' is Riemann–Stieltjes integrable with respect to ''g'' (in the classical sense) if
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| :<math>\lim_{\operatorname{mesh}(P)\to 0} [U(P,f,g)-L(P,f,g)] = 0.</math>
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| See {{harvtxt|Graves|1946|loc=Chap. XII, §3}}.
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| ==Properties and relation to the Riemann integral==
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| If ''g'' should happen to be everywhere [[differentiable]], then the Riemann–Stieltjes integral may still be different from the [[Riemann integral]] of <math>f(x) g'(x)</math> given by
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| :<math>\int_a^b f(x) g'(x) \, dx,</math>
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| for example, if the derivative is unbounded. But if the derivative is continuous, they will be the same. This condition is also satisfied if ''g'' is the (Lebesgue) integral of its derivative; in this case ''g'' is said to be [[absolutely continuous]].
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| However, ''g'' may have jump discontinuities, or may have derivative zero ''almost'' everywhere while still being continuous and increasing (for example, ''g'' could be the [[Cantor function]]), in either of which cases the Riemann–Stieltjes integral is not captured by any expression involving derivatives of ''g''.
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| The Riemann–Stieltjes integral admits [[integration by parts]] in the form
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| :<math>\int_a^b f(x) \, dg(x)=f(b)g(b)-f(a)g(a)-\int_a^b g(x) \, df(x).</math>
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| and the existence of either integral implies the existence of the other {{harv|Hille|Phillips|1974|loc=§3.3}}. | |
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| ==Existence of the integral==
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| The best simple existence theorem states that if ''f'' is continuous and ''g'' is of [[bounded variation]] on [''a'', ''b''], then the integral exists. A function ''g'' is of bounded variation if and only if it is the difference between two monotone functions. If ''g'' is not of bounded variation, then there will be continuous functions which cannot be integrated with respect to ''g''. In general, the integral is not well-defined if ''f'' and ''g'' share any points of [[Discontinuity (mathematics)|discontinuity]], but this sufficient condition is not necessary. | |
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| On the other hand, a classical result of {{harvtxt|Young|1936}} states that the integral is well-defined if ''f'' is ''α''-[[Hölder continuous]] and ''g'' is ''β''-Hölder continuous with ''α'' + ''β'' > 1.
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| ==Application to probability theory==<!-- This section is linked from [[Probability distribution]] -->
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| If ''g'' is the [[cumulative distribution function|cumulative probability distribution function]] of a [[random variable]] ''X'' that has a [[probability density function]] with respect to [[Lebesgue measure]], and ''f'' is any function for which the [[expected value]] E(|''f''(''X'')|) is finite, then the probability density function of ''X'' is the derivative of ''g'' and we have | |
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| :<math>E(f(X))=\int_{-\infty}^\infty f(x)g'(x)\, dx.</math>
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| But 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 by point-masses), and even if the cumulative distribution function ''g'' is
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| continuous, it does not work if ''g'' fails to be [[absolute continuity|absolutely continuous]] (again, the [[Cantor function]] may serve as an example of this failure). But the identity
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| :<math>E(f(X))=\int_{-\infty}^\infty f(x)\, dg(x)</math>
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| holds if ''g'' is ''any'' cumulative probability distribution function on the real line, no matter how ill-behaved. In particular, no matter how ill-behaved the cumulative distribution function ''g'' of a random variable ''X'', if the [[moment (mathematics)|moment]] E(''X''<sup>''n''</sup>) exists, then it is equal to
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| : <math> E(X^n) = \int_{-\infty}^\infty x^n\,dg(x). </math>
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| ==Application to functional analysis==
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| The Riemann–Stieltjes integral appears in the original formulation of F. Riesz's theorem which represents the [[dual space]] of the [[Banach space]] ''C''[''a'',''b''] of continuous functions in an interval [''a'',''b''] as Riemann–Stieltjes integrals against functions of [[bounded variation]]. Later, that theorem was reformulated in terms of measures.
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| 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 a spectral family of projections. See {{harvtxt|Riesz|Sz. Nagy|1955}} for details.
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| ==Generalization==
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| An important generalization is the [[Lebesgue–Stieltjes integral]] which generalizes the Riemann–Stieltjes integral in a way analogous to how the [[Lebesgue integral]] generalizes the Riemann integral. If [[improper integral|improper]] Riemann–Stieltjes integrals are allowed, the Lebesgue integral is not strictly more general than the Riemann–Stieltjes integral.
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| The Riemann–Stieltjes integral also generalizes to the case when either the integrand ''ƒ'' or the integrator ''g'' take values in a [[Banach space]]. If {{nowrap|''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 that
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| :<math>\sup \sum_i \|g(t_i)-g(t_{i+1})\|_X < \infty </math>
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| the supremum being taken over all finite partitions
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| :<math>a=t_0\le t_1\le\cdots\le t_n=b</math>
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| of the interval [''a'',''b'']. This generalization plays a role in the study of [[c0-semigroup|semigroups]], via the [[Laplace–Stieltjes transform]].
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| ==References==
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| *{{citation | last=Graves|first=Lawrence|title=The theory of functions of a real variable|publisher=McGraw–Hill|year=1946}}.
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| *{{Citation | last1=Hildebrandt | first1=T. H. | title=Definitions of Stieltjes Integrals of the Riemann Type | mr=1524276 | year=1938 | journal=[[American Mathematical Monthly|The American Mathematical Monthly]] | issn=0002-9890 | volume=45 | issue=5 | pages=265–278|jstor=2302540}}.
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| *{{Citation | last1=Hille | first1=Einar | authorlink1=Einar Hille | last2=Phillips | first2=Ralph S. | authorlink2=Ralph Phillips (mathematician) | title=Functional analysis and semi-groups | publisher=[[American Mathematical Society]] | location=Providence, R.I. | mr=0423094 | year=1974}}.
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| * {{citation|first=E. J.|last=McShane|url=http://mathdl.maa.org/images/upload_library/22/Chauvenet/Mcshane.pdf|title=Partial orderings & Moore-Smith limit|accessdate=02-11-2010|journal=The American Mathematical Monthly|volume=59|year=1952|pages=1–11}}.
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| * {{citation|first=Henry|last=Pollard|title=The Stieltjes integral and its generalizations|year=1920|volume=19|journal=[[The Quarterly Journal of Pure and Applied Mathematics]]}}.
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| * {{citation|first1=F.|last1=Riesz|first2=B.|last2=Sz. Nagy|title=Functional Analysis|year=1990|publisher=Dover Publications|isbn=0-486-66289-6}}.
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| * {{citation|last1=Shilov|first1=G. E.|last2=Gurevich|first2=B. L.|year=1978|title=Integral, Measure, and Derivative: A Unified Approach|publisher=Dover Publications|isbn=0-486-63519-8}}, Richard A. Silverman, trans.
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| * {{citation|last=Stroock|first=Daniel W.|year=1998|title=A Concise Introduction to the Theory of Integration|publisher=Birkhauser|edition=3rd|isbn=0-8176-4073-8}}.
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| *{{citation | last=Young|first=L.C.|title=An inequality of the Hölder type, connected with Stieltjes integration|journal=Acta Mathematica|volume=67|year=1936|issue=1|pages=251–282}}.
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| {{integral}}
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| {{DEFAULTSORT:Riemann-Stieltjes integral}}
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| [[Category:Definitions of mathematical integration]]
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