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An alternative approach (Hewitt & Stromberg 1965) is to define the Lebesgue–Stieltjes integral as the Daniell integral that extends the usual Riemann–Stieltjes integral. Let g be a non-decreasing right-continuous function on [a, b], and define I( f ) to be the Riemann–Stieltjes integral
Henri Léon Lebesgue ForMemRS [1] (/ l ə ˈ b ɛ ɡ /; [3] French: [ɑ̃ʁi leɔ̃ ləbɛɡ]; June 28, 1875 – July 26, 1941) was a French mathematician known for his theory of integration, which was a generalization of the 17th-century concept of integration—summing the area between an axis and the curve of a function defined for that axis.
The Lebesgue integral is obtained by slicing along the y-axis, using the 1-dimensional Lebesgue measure to measure the "width" of the slices. Folland (1999) summarizes the difference between the Riemann and Lebesgue approaches thus: "to compute the Riemann integral of f , one partitions the domain [ a , b ] into subintervals", while in the ...
The Lebesgue–Stieltjes integral is the ordinary Lebesgue integral with respect to a measure known as the Lebesgue–Stieltjes measure, which may be associated to any function of bounded variation on the real line. The Lebesgue–Stieltjes measure is a regular Borel measure, and conversely every regular Borel measure on the real line is of ...
The Laplace–Stieltjes transform of a real-valued function g is given by a Lebesgue–Stieltjes integral of the form ()for s a complex number.As with the usual Laplace transform, one gets a slightly different transform depending on the domain of integration, and for the integral to be defined, one also needs to require that g be of bounded variation on the region of integration.
The Riemann–Stieltjes integral admits integration by parts in the form () = () () ()and the existence of either integral implies the existence of the other. [2]On the other hand, a classical result [3] shows that the integral is well-defined if f is α-Hölder continuous and g is β-Hölder continuous with α + β > 1 .
If this integral is finite for all polynomials f, we can define an inner product on pairs of polynomials f and g by , = () (). This operation is a positive semidefinite inner product on the vector space of all polynomials, and is positive definite if the function α has an infinite number of points of growth.
Lebesgue measure; Lebesgue integration; Lebesgue's density theorem; Counting measure; Complete measure; Haar measure; Outer measure; Borel regular measure; Radon measure; Measurable function; Null set, negligible set; Almost everywhere, conull set; Lp space; Borel–Cantelli lemma; Lebesgue's monotone convergence theorem; Fatou's lemma ...