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
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
For a discrete measure the Lebesgue–Stieltjes integral is a series of numbers.
|||E. Kamke, "Das Lebesgue–Stieltjes-Integral" , Teubner (1960)|
|[a1]||E. Hewitt, K.R. Stromberg, "Real and abstract analysis" , Springer (1965)|
Lebesgue–Stieltjes integral. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Lebesgue%E2%80%93Stieltjes_integral&oldid=22718