# Lebesgue-Stieltjes integral

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A generalization of the Lebesgue integral. For a non-negative measure $\mu$ the name "Lebesgue–Stieltjes integral" is used in the case when $X=\mathbf R^n$ and $\mu$ is not the Lebesgue measure; then the integral $\int_Xfd\mu$ is defined in the same way as the Lebesgue integral in the general case. If $\mu$ is of variable sign, then $\mu=\mu_1-\mu_2$, where $\mu_1$ and $\mu_2$ are non-negative measures, and the Lebesgue–Stieltjes integral

$$\int\limits_Xfd\mu=\int\limits_Xfd\mu_1-\int\limits_Xfd\mu_2,$$

under the condition that both integrals on the right-hand side exist. For $X=\mathbf R^1$ the fact that $\mu$ is countably additive and bounded is equivalent to the fact that the measure is generated by some function $\Phi$ of bounded variation. In this case the Lebesgue–Stieltjes integral is written in the form

$$\int\limits_a^bfd\Phi.$$

For a discrete measure the Lebesgue–Stieltjes integral is a series of numbers.

How to Cite This Entry:
Lebesgue-Stieltjes integral. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Lebesgue-Stieltjes_integral&oldid=33143
This article was adapted from an original article by I.A. Vinogradova (originator), which appeared in Encyclopedia of Mathematics - ISBN 1402006098. See original article