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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.
Henri Léon Lebesgue ForMemRS [1] (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.
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 Riemann–Stieltjes integrals are allowed, then the Lebesgue integral is not strictly more general than the Riemann–Stieltjes integral.
In calculus, and more generally in mathematical analysis, integration by parts or partial integration is a process that finds the integral of a product of functions in terms of the integral of the product of their derivative and antiderivative. It is frequently used to transform the antiderivative of a product of functions into an ...
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 Lebesgue integral, named after French mathematician Henri Lebesgue, is one way to make this concept rigorous and to extend it to more general functions. The Lebesgue integral is more general than the Riemann integral, which it largely replaced in mathematical analysis since the first half of the 20th century. It can accommodate functions ...
Many of the fundamental results of infinitesimal calculus also fall into this category: the symmetry of partial derivatives, differentiation under the integral sign, and Fubini's theorem deal with the interchange of differentiation and integration operators.
For example, it is used to equate a probability for a random variable with the Lebesgue-Stieltjes integral typically associated with computing the probability: = for all in the Borel σ-algebra on , where () is the cumulative distribution function for , defined on , while is a probability measure, defined on a σ-algebra of subsets of some ...