Riemann – Stieltjes Integral

R-S integral and few important theorems

Presented by Group 7 :
Harsh Sadrate, Rajat Pratap Thakur, Pankaj Thakur, Rashul Kashyap, Pankaj Kumar, Karan
Dhiman, Ankit Mehta

22nd October 2024

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Harsh

Partition of a closed interval

Let [a, b] be a given interval. By a partition P of [a, b] we mean a finite set of points ,
where , ,The partition P consist of points and these are the sub intervals of the
partition .

is called the length of the segment

The greatest of the length of the segments of the partition P is denoted by IlPIl and is
known as norm of P
IlPIl = max

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 Refinement of a Partition

•If P, P* be two Partition of [a, b] and

P ⊆ P* then the partition P* is called
refinement of P on [a, b].
•If , be two partition of [a, b] then
P= is called Common Refinement
of .

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 Upper and lower Riemann sum

Let f be bounded function defined on [a , b] and

…………….. } be any partition of [a , b] then
[
[
We define(lower sum)
L(P, f)=
Riemann sum
U (P, f)= Upper
Riemann sum

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Rajat

What is Riemann – Stieltjes

integral ?

Let α be a monotonically increasing and bounded function on [a, b]. Corresponding

to each partition P of [a, b], we write

Δαi = α(xi) - α(xi-1) (i = 1, 2, …, n)

For any real function f which is bounded on [a, b] we put

U(P, f, α) = ∑(xi from 1 to n) Mi Δαi, Mi = sup f(x) (xi-1 ≤ x ≤xi),

L(P, f, α) = ∑(xi from 1 to n) mi Δαi, mi = inf f(x) (xi-1 ≤ x ≤xi),

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 We define lower R-S integral of f as

_
∫ (a to b) f dα = inf U (P, f, α),

And upper R-S integral of f as

_
∫ (a to b) f dα = sup L (P, f, α),

where supremum and infimum are taken over all partitions of [a, b].

When the lower R-S integral and upper R-S integral are equal, their common
value is called the Riemann – stieltjes integral written as

∫(a to b) f dα
In symbols we write as

f ∈ R (α) on [a, b]

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 Difference between RS integral and
Riemann integral.
When α(x) = x (identity function) R-S integral becomes R integral.

Other differences are :

R-S integral Riemann integral

• In it integration of f is w.r.t another • In it integration is w.r.t a variable.

function (α).
• R integral depends on function f and
• R-S integral depends on function f,α variable x defined on [a, b].
defined on interval [a, b].

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Pankaj
Thakur
Theorem : If P* is a refinement of P, then
1. L( P, f, α)≤ L(P*, f,α )
2. U (P*,f, α) ≤ U (P, f, α)

Proof: 1. Let p= { a= x0,x1, x2,... xn = b) be a

partition
of the given interval.
Let us suppose that P* contains just one point
more than the P.
Let this extra
point be x* and suppose xi-1< x* <xi, where xi-1 and
xi are two consecutive points of P

Since, t is bounded over the entire interval [a,

b] it is bounded on every sub-interval.
Δxi ( i = 1,2,3... )

02/19/2025 Let W1= inf f(x) in [xi-1,x*] 8

 Clearly, W1 ≥ mi
and W2 ≥ mi
where, mi = inf f(x) in [xi-1, xi]
Hence,
L( P*, f, α)-L(P, f, α) = W1[α(x*)-α(xi-1)] + W2[α(xi)-
α(x*)] - mi[α(xi)-α(xi-1)]
=(W1-mi)[α(x*)-α(xi-1)] + (W2-mi)[α(xi) - α(x*)]
≥0
(α is monotonically increasing)
If P* contains k points more than P, repeating the
above argument k times, we get
L(P, f,α) ≤ L(P*,f,α)

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 2. Clearly, W1 ≤ Mi , W2 ≤ Mi
where W1 and W2 are sup of f(x) in [xi-1 , x*] and [x*, xi]
respectively
Therefore, U(P*,f,α) - U(P, f,α) = W1[α(x*)-α(xi-1)]
+ W2[α(xi)-α(x*)] - Mi[α(xi)-α(xi-1)]
=(W1-Mi)[α(x*)-α(xi-1)] + (W2-Mi)[α(xi) -
α(x*)] ≤ 0
⇒
U(P*,f,α) ≤ U(P, f,α)
If P* contains k points more than P , repeating the
above argument k-times, we get

U(P*,f,α) ≤ U(P,
f,α)
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 Cauchy's Criteria for
Rashul

Integrability
Theorem:
f ∈ R[S] on [a, b] if and only if for every ε >0 there exists a partition p
such that
U(P, f,α)-L(P, f,α)<ε

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Proof:
Let U(P, f,α)-L(P, f,α)<ε
To prove
 f ∈ R[S] on [a ,b]
We know that
∫(a ̅^b) f dα≤∫(a^ b ̅ ) f dα ------ (1)

 ∫(a^ b ̅) f dα - ∫( a ̅^b) f dα ≥0

Again we know that
 L(P, f, α) ≤∫(a ̅^b) f dα
Adding negative sign both side
 -L(P, f, α) ≥ -∫(a ̅^b)f dα
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 ⟹ -∫(a ̅^b) f dα ≤ - L(P, f, α) -------(2)
 Also
 ⟹ ∫(a^ b ̅) f dα ≤ U(P, f, α) ---------(3)

 adding equations (2) and(3)

 ⟹ ∫(a^ b ̅) f dα -∫(a ̅^ b) f dα ≤ U(P, f, α) -L(P, f, α)

 ⟹ ∫(a^ b ̅ )f dα-∫(a ̅^ b) f dα≤"ε"

 ⟹ ∫(a^ b ̅) f dα - ∫(a ̅^ b) f dα=0 ("ε" is arbitrary small)

 ⟹∫(a^ b ̅) f dα = ∫(a ̅^ b) f dα

 f ∈ R[S] on [a ,b]
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Converse:
 To prove
 U(P, f,α) - L(P, f,α)<ε
 Since
 f ∈ R[S] on [a ,b]
 ∫(a^ b ̅) f dα=∫ (a ̅^ b) f dα
 ∫(a^ b ̅) f dα = inf {U (P, f,α)}
 ⟹ there exists a partition P1 such that

 U(P1, f,α) < ∫(a^ b ̅) f dα + ε /2

--------(4)
 ∫(a ̅^b)f dα= sup {L(P, f,α)
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 ∃ a partition P2that

 L(P2, f,α) > ∫(a ̅^ b) f dα - ε /2 -----(5)

 ∫(a^ b ̅) f dα=∫(a ̅^ b)f dα =∫(_a^ b) f dα -----(6)
 U(P1, f,α) < ∫(_a^ b) f dα + ε /2 -------(7)
 Also
 L(P2, f,α) > ∫(_a^ b)f dα - ε /2 -------(8)

 Let P= P1∪ P2 be common refinement of P1 and P2then

 U(P, f,α) ≤ U(P1, f,α) < ∫(_a^ b)f dα + ε /2 < L(P2, f,α) + ε /2 + ε /2 ≤ L(P, f, α) + "ε"

by (7) and (8)


 U(P, f,α)-L(P, f,α)<ε

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 Pankaj

Properties Of R.S.
Integral
è
Theorem  f1 ЄR(α) and f­2ЄR(α) over [a,b] then)ЄR(f1+ f­
2α) ЄR(α) .
Proof Let P={x0,x1,x2,…………,xn} be any partition of
[a,b]and let f=f1+f2 . Let mr’,mr’’,mr and Mr’,Mr’’,Mr be the
infimum and superimum of f1 , f2 and f in [xr-1,xr].
Now we know that
mr’+ mr’’≤ mr ≤ Mr ≤ Mr’+ Mr’’ ……..(1)
[∵ Inf.( f + g)≥Inf. f +Inf. g
& Sup.(f + g)≤Sup. f+ Sup. g ]

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 So, multiplying ∑nr=1 ∆αr in eq.n (1) , we get

∑nr=1 mr’ ∆αr + ∑nr=1 mr’’∆αr≤ ∑nr=1 mr∆αr≤∑nr=1 Mr∆αr≤∑nr=1

Mr’∆αr+≤∑nr=1 Mr’’∆αr
L(P, f1,α) + L(P, f2, α) ≤ L(P, f,α) ≤ U(P, f,α) ≤ U(P, f1,α ) ≤
U(P, f2, α) ………..(2)
Since f1 ЄR(α) and f­2ЄR(α) , Э partitions P1 , P2 such that

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[ By theorem which state that let P & P* be the refinement
of P that is P С P* then
L(P ,f, α ) ≤ L(P*,f, α )
U (P,f, α ) ≥ U(P*,f, α )]

è - L(P1, f1,α) ≤ - L(P, f1,α)

On adding
U(P, f1,α ) - L(P, f1,α) ≤ U(P1, f1,α ) - L(P1, f1,α) <

…. [ By eqn. (3)]
è U(P, f1,α ) - L(P, f1,α) < ……..(4)

Similarly,
U(P, f2, α) - L(P, f2, α) < ε/2 …….(5)

è
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 Form eqn. (2) we can write

- L(P, f,α) ≤ - L(P, f1,α) - L(P, f2, α) ……(6)

& U(P, f,α) ≤U(P, f1,α ) + U(P, f2, α) …….(7)

Adding eqn. (6) & (7) and using in eqn. (4) & (5), we
get
U(P, f,α) - L(P, f,α) ≤ U(P, f1,α ) - L(P, f1,α)

+ U(P, f2, α) - L(P, f2, α)

< ε/2 + < ε/2 = ε

è U(P, f,α) - L(P, f,α) < ε
è f ЄR(α)
• f1+f2 ЄR(α)
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Fundamental
theorem of
calculus
The First Fundamental Theorem of Calculus

The First Fundamental Theorem of Calculus also known as second fundamental theorem of integral
calculus.

This part establishes a relationship between differentiation and integration. It states that if f is a R-S
function (continuous)on the interval [a, b], and F’ = f (F is an antiderivative of f), then:

∫ₐᵇ f(x)dx = F(b) – F(a)

• This means that the definite integral of a function over an interval can be computed using its
antiderivative.
THEOREM- IF f belongs to R-S integral on [a,b] then
there exists a differential function F on [a,b]
such that F’=f (antiderivative of f =F
then ∫f(x)dx=F(b)-F(a)

PROOF- let ∍>o and P be the partition on [a,b] i.e

a=[x₀,x₁,………….xn=b]
Since the function is R-S on [a,b] then ∃ a tr∈[xr⁃₁,xr]
on [a,b] such that
By L.M.V. we can say
F’(tr)=[F(xr)-f(xr⁃₁)]/(xr-xr⁃₁)
⇒ F’(tr).∆xr= F(xr)-f(xr⁃₁)
Remarks
• functions possessing antiderivative are not necessarily continuous

• The fundamental theorem does not state that if f is integrable,then f has

antiderivative on [a,b]. It only states that If f has anti derivative on [a,b],
then this antiderivative can be used to evaluate the definate integral.
• Eg 1 f(x)={2xsin(1/x)-cos(1/x). x not equal to 0, 0 when x=0}
•
Karan

State & proof first Mean Value theorem for Riemann - Stieltjes Integral.

Statement ⇒ a If f is Continuous and α is monotonically increasing on [a,b] then

there exist a point c ∈ [a,b]
∫(a to b)fdα = f(c) [α(b)-α(a)]

Proof ⇒ Given f is Continuous and α is Monotonically increasing on [a,b]

⇒ f has maximum and minimum value in [a,b]

Let m and M be infimum and Supremum of f in [a,b]
⇒ m ≤ f(x) ≤ M
⇒ ∫(a to b)mdα ≤ ∫(a to b)fdα ≤ ∫(a to b)Mdα
⇒ m∫(a to b )dα ≤ ∫(a to b)fdα ≤ M ∫(a to b)dα
⇒ m[α(b)-α(a)] ≤ ∫(a to b)fdα ≤ M[α(b)-α(a)]
⇒ ∫(a to b)fdα = m+M/2 [α(b)-α(a)]
⇒ ∫(a to b)fdα = μ [α(b)-α(a)] ...... (1)

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 Where μ is m+M/2
⇒m ≤ μ ≤ M
⇒ μ = f(c) for c ∈ [a,b]
Therefore, Equation (1) ⇒
∫(a to b)fdα = f(c) [α(b)- α(a)]
Hence Proved.

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