Chapter 6 – Riemann-Stieltjes Integral.

Subject: Real Analysis (Mathematics) Level: M.Sc.

Source: Syyed Gul Shah (Chairman, Department of Mathematics, US Sargodha)
Collected & Composed by: Atiq ur Rehman (atiq@mathcity.org), http://www.mathcity.org

Ø Introduction
In elementary treatment of Integral Calculus the subject of integration is
treated as inverse of differentiation. The subject arose in connection with the
determination of areas of plane regions and was based on the notion of the limit of a
type of sum when the number of terms in the sum tends to infinity and each term
tends to zero. In fact the name Integral Calculus has its origin in this process of
summation. It was only afterwards that it was seen that the subject of integration
can also be viewed from the point of the inverse of differentiation.

Ø Partition
Let [a, b] be a given interval. A finite set P = {a = x0 , x1 , x2 ,...., xk ,...., xn = b} is
said to be a partition of [a, b] which divides it into n such intervals
[ x0 , x 1 ] , [ x1, x 2 ] , [ x2 , x 3 ] ,......, [ xn-1, x n ]
Each sub-interval is called a component of the partition.
Obviously, corresponding to different choices of the points xi we shall have
different partition.
The maximum of the length of the components is defined as the norm of the
partition.

Ø Riemann Integral
Let f be a real-valued function defined and bounded on [a, b] . Corresponding to
each partition P of [a, b] , we put
M i = sup f ( x) ( xi-1 £ x £ xi )
mi = inf f ( x) ( xi-1 £ x £ xi )
We define upper and lower sums as Mi
n
U ( P, f ) = å M i Dxi mi
i =1 xi – 1 xi
n
and L ( P, f ) = å mi Dxi
i =1
where Dxi = xi - xi-1 (i = 1,2,...., n)
b
and finally ò f dx = inf U ( P, f ) ………….… (i)
a
b

ò f dx = sup L( P, f ) ……………..(ii)
a

Where the infimum and the supremum are taken over all partitions P of [a, b] .
b b
Then ò f dx
a
and ò f dx
a
are called the upper and lower Riemann Integrals of f

over [a, b] respectively.

In case the upper and lower integrals are equal, we say that f is Riemann-
Integrable on [a, b] and we write f ÎR , where R denotes the set of Riemann
integrable functions.
2 Riemann-Stieltjes Integral

b b
The common value of (i ) and (ii ) is denoted by ò f dx
a
or by ò f ( x) dx .
a
Which is known as the Riemann integral of f over [a, b] .

Ø Theorem
The upper and lower integrals are defined for every bounded function f .
Proof
Take M and m to be the upper and lower bounds of f ( x) in [a, b] .
Þ m £ f ( x) £ M (a £ x £ b )
Then M i £ M and mi ³ m (i = 1,2,....., n)
Where M i and mi denote the supremum and infimum of f ( x) in ( xi-1 , xi ) for
certain partition P of [ a, b] .
n n
Þ L ( P, f ) = å mi Dxi ³ å m Dxi (Dxi = xi -1 - xi )
i =1 i =1
n
Þ L ( P, f ) ³ må Dxi
i =1
n
But å Dx
i =1
i = ( x1 - x0 ) + ( x2 - x1 ) + ( x3 - x2 ) + .... + ( xn - xn -1 )

= xn - x0 = b - a
Þ L ( P, f ) ³ m(b - a)
Similarity U ( P, f ) £ M (b - a)
Þ m(b - a) £ L ( P, f ) £ U ( P, f ) £ M (b - a)
Which shows that the numbers L ( P, f ) and U ( P, f ) form a bounded set.
Þ The upper and lower integrals are defined for every bounded function f . ¤

Ø Riemann-Stieltjes Integral
It is a generalization of the Riemann Integral. Let a ( x) be a monotonically
increasing function on [a, b] . a (a ) and a (b) being finite, it follows that a ( x)
is bounded on [a, b] . Corresponding to each partition P of [a, b] , we write
Da i = a ( xi ) - a ( xi -1 )
( Difference of values of a at xi & xi -1 )
Q a ( x) is monotonically increasing.
\ Da i ³ 0
Let f be a real function which is bounded on [a, b] .
n
Put U ( P, f ,a ) = å M i Da i
i =1
n
L ( P, f ,a ) = å mi Da i
i =1
Where M i and mi have their usual meanings.
Define
b

ò f da = inf U ( P, f ,a ) ……………. (i)

a
b

ò f da = sup L ( P, f ,a ) ……………. (ii)

a
 Riemann-Stieltjes Integral 3

Where the infimum and supremum are taken over all partitions of [a, b] .
b b b b
If ò f da = ò f da ,
a a
we denote their common value by òa f da or òa f ( x) da ( x) .
This is the Riemann-Stieltjes integral or simply the Stieltjes Integral of f w.r.t.
a over [a, b] .
b
If òa f da exists, we say that f is integrable w.r.t. a , in the Riemann sense,
and write f ÎR(a ) .

Ø Note
The Riemann-integral is a special case of the Riemann-Stieltjes integral when we
take a ( x ) = x .
Q The integral depends upon f ,a , a and b but not on the variable of integration.
b b
\ We can omit the variable and prefer to write òa f da instead of òa f ( x) da ( x) .
In the following discussion f will be assume to be real and bounded, and a
monotonically increasing on [a, b] .

Ø Refinement of a Partition
Let P and P* be two partitions of an interval [ a, b] such that P Ì P* i.e. every
point of P is a point of P* , then P* is said to be a refinement of P .

Ø Common Refinement
Let P1 and P2 be two partitions of [a, b] . Then a partition P* is said to be their
common refinement if P* = P1 È P2 .

Ø Theorem
If P* is a refinement of P , then
(
L ( P, f ,a ) £ L P* , f ,a ……..………… (i) )
and U ( P, f ,a ) ³ U ( P , f ,a ) ………………. (ii)
*

Proof
Let us suppose that P* contains just one point x * more than P such that
xi-1 < x* < xi where xi -1 and xi are two consecutive points of P .
Put
w1 = inf f ( x) (
xi-1 £ x £ x* )
xi – 1 x* xi
w2 = inf f ( x ) (x *
£ x £ xi )
It is clear that w1 ³ mi & w2 ³ mi where mi = inf f ( x ) , ( xi -1 £ x £ xi ) .
Hence
( )
L P* , f ,a - L ( P, f ,a ) = w1 éëa ( x* ) - a ( xi -1 ) ùû + w2 éëa ( xi ) - a ( x* ) ùû
-mi [a ( xi ) - a ( xi -1 )]
= w1 éëa ( x* ) - a ( xi -1 ) ùû + w2 éëa ( xi ) - a ( x* ) ùû
- mi éëa ( xi ) - a ( x* ) + a ( x* ) - a ( xi -1 ) ùû
= ( w1 - mi ) éëa ( x* ) - a ( xi-1 ) ùû + ( w2 - mi ) éëa ( xi ) - a ( x* ) ùû
4 Riemann-Stieltjes Integral

Q a is a monotonically increasing function.

\ a ( x* ) - a ( xi -1 ) ³ 0 , a ( xi ) - a ( x* ) ³ 0
( )
Þ L P * , f ,a - L ( P, f ,a ) ³ 0
(
Þ L ( P , f ,a ) £ L P * , f ,a ) which is (i)
If P* contains k points more than P , we repeat this reasoning k times and
arrive at (i).
Now put
W1 = sup f ( x ) ( xi-1 £ x £ x* )
and W2 = sup f ( x) ( x* £ x £ xi )
Clearly M i ³ W1 & M i ³ W2
Consider
( )
U ( P, f ,a ) - U P* , f ,a = M i [a ( xi ) - a ( xi -1 )]
- W1 éëa ( x* ) - a ( xi -1 ) ùû - W2 éëa ( xi ) - a ( x* ) ùû
= M i éëa ( xi ) - a ( x* ) + a ( x* ) - a ( xi -1 ) ùû
- W1 éëa ( x* ) - a ( xi -1 ) ùû - W2 éëa ( xi ) - a ( x* ) ùû
= ( M i - W1 ) éëa ( x* ) - a ( xi -1 ) ùû + ( M i - W2 ) éëa ( xi ) - a ( x* ) ùû ³ 0
(Q a is - )
Þ U ( P , f ,a ) ³ U P * , f ,a ( ) which is (ii)
¤
Ø Theorem
Let f be a real valued function defined on [a, b] and a be a monotonically
increasing function on [a, b] . Then
sup L ( P, f ,a ) £ inf U ( P, f ,a )
b b
i.e. ò f da
a
£ ò f da
a

Proof
Let P* be the common refinement of two partitions P1 and P2 . Then
(
L ( P1, f ,a ) £ L P* , f ,a ) (
£ U P * , f ,a ) £ U ( P2 , f ,a )
Hence L ( P1 , f ,a ) £ U ( P2 , f ,a ) …………. (i)
If P2 is fixed and the supremum is taken over all P1 then (i) gives
b

ò f da £ U ( P2 , f ,a )
a

Now take the infimum over all P2

b b
Þ ò f da
a
£ ò f da
a
¤

{{{{{{{{{{{{{{{{{{{{
 Riemann-Stieltjes Integral 5

Ø Theorem (Condition of Integrability or Cauchy’s Criterion for

Integrability.)
f ÎR(a ) on [a, b] iff for every e > 0 there exists a partition P such that
U ( P, f ,a ) - L ( P, f ,a ) < e
Proof
Let U ( P, f ,a ) - L ( P, f ,a ) < e …………. (i)
b b
Then L ( P, f ,a ) £ ò f da £ ò f d a £ U ( P , f ,a )
a a
b b
Þ ò f da - L ( P, f ,a ) ³ 0 and U ( P, f ,a ) - ò f da ³ 0
a a

Adding these two results, we have

b b

ò f da - ò f da - L ( P, f ,a ) + U ( P, f ,a ) ³ 0
a a
b b
Þ ò f da - ò f da £ U ( P, f ,a ) - L ( P, f ,a ) < e from (i)
a a
b b
i.e. 0£ ò f da - ò f da
a a
<e for every e > 0 .

b b
Þ ò f da
a
= ò f da
a
i.e. f ÎR(a )

Conversely, let f ÎR(a ) and let e > 0

b b b
Þ ò f da = ò f da = ò f da
a a a
b b
Now ò f da = inf U ( P, f ,a )
a
and ò f da = sup L ( P, f ,a )
a

There exist partitions P1 and P2 such that

e
b
U ( P2 , f ,a ) - ò f da < ……..…… (ii) U ( P2 , f , a ) - e < ò f da
a
2 2
e ò f da < L ( P1 , f ,a ) + e 2
b
and òa f da - L ( P1 , f ,a ) <
……..…… (iii)
2
We choose P to be the common refinement of P1 and P2 .
Then
e
b
U ( P, f ,a ) £ U ( P2 , f ,a ) < ò f da + < L ( P1 , f ,a ) + e £ L ( P, f ,a ) + e
a
2
So that
U ( P, f ,a ) - L ( P, f ,a ) < e ¤

•-----------------------------œ
6 Riemann-Stieltjes Integral

Ø Theorem
a) If U ( P, f ,a ) - L ( P, f ,a ) < e holds for some P and some e , then it holds
(with the same e ) for every refinement of P .
b) If U ( P, f ,a ) - L ( P, f ,a ) < e holds for P = { x0 ,...., xn } and si , ti are arbitrary
points in [ xi -1, xi ] , then
n

å
i =1
f ( si ) - f (ti ) Da i < e

c) If f ÎR(a ) and the hypotheses of (b) holds, then

n b

å f (t )Da - ò f da
i =1
i i <e
a

Proof
a) Let P* be a refinement of P . Then
L ( P, f ,a ) £ L P * , f ,a ( )
and (
U P * , f ,a ) £ U ( P, f ,a )
Þ L ( P , f ,a ) + U P * , f ,a ( ) ( )
£ L P * , f ,a + U ( P , f ,a )
(
Þ U P * , f ,a - L P * , f ,a ) ( ) £ U ( P , f ,a ) - L ( P , f ,a )
Q U ( P, f ,a ) - L ( P, f ,a ) < e
( ) (
\ U P * , f ,a - L P * , f ,a < e )
b) P = { x0 ,...., xn } and si , ti are arbitrary points in [ xi -1, xi ] .
Þ f ( si ) and f (ti ) both lie in [ mi , M i ] .
Þ f ( si ) - f (ti ) £ M i - mi xi – 1 si ti xi
Þ f ( si ) - f (ti ) Da i £ M i Da i - mi Da i
n n n
Þ åi =1
f ( si ) - f (ti ) Da i £ åM i =1
i Da i - å mi Da i
i =1
n
Þ åi =1
f ( si ) - f (ti ) Da i £ U ( P, f ,a ) - L ( P, f ,a )

Q U ( P , f ,a ) - L ( P , f ,a ) < e
n
\ å
i =1
f (si ) - f (ti ) Da i < e

c) Q mi £ f (ti ) £ M i
\ å m Da i å f (t ) Da £ å M Da
i £ i i i i

Þ L ( P, f ,a ) £ å f (t ) Da £ U ( P, f ,a ) i i
b
and also L ( P, f ,a ) £ òa f da £ U ( P, f ,a )

Using (b), we have

b

å f (t ) Da - ò f da
i i < e ¤
a

˜-----------------------------™
 Riemann-Stieltjes Integral 7

Ø Theorem
If f is continuous on [a, b] then f ÎR(a ) on [a, b] .
Proof
Let e > 0 be given. Choose b > 0 so that
[a (b) - a (a)] b < e
f is continuous on [a, b] Þ f is uniformly continuous on [a, b] .
Þ There exists a d > 0 such that
f ( s) - f (t ) < b if x Î [a, b] , t Î [a, b] and x - t < d ………..(i)
If P is any partition of [a, b] such that Dxi < d for all i
then (i) implies that M i - mi £ b , (i = 1,2,...., n)
Þ U ( P, f ,a ) - L ( P, f ,a ) = å M i Da i - å mi Da i
= å ( M i - mi ) Da i
£ b å Da i = b [a (b) - a (a )] < e
Þ f ÎR (a ) by Cauchy Criterion. ¤

Ø Theorem
If f is monotonic on [a, b] , and if a is continuous on [a, b] , then f ÎR(a ) .
( Monotonicity of a still assumed. )
Proof
Let e > 0 be a given positive number.
For any positive integer n , choose a partition P = { x0 , x1,....., xn } of [a, b]
such that
a (b) - a (a )
Da i = , i = 1,2,...., n
n
This is possible because a is continuous and monotonic increasing on the closed
interval [a, b] and thus assumes every value between its bounds, a (a ) and a (b) .
Let f be monotonic increasing on [a, b] , so that its lower and upper bounds
mi , M i in [ xi -1, xi ] are given by
mi = f ( xi -1 ) , M i = f ( xi ) , i = 1,2,...., n
n
\ U ( P, f ,a ) - L ( P, f ,a ) = å ( M i - mi ) Da i
i =1

a (b) - a (a ) n
= å [ f ( xi ) - f ( xi-1 )]
n i =1
a (b) - a (a )
= [ f (b) - f (a)]
n
<e if n is taken large enough.
Þ f Î R(a ) on [a, b] .
¤
Note: f ÎR(a ) when either
i) f is continuous and a is monotonic, or
ii) f is monotonic and a is continuous, of course a is still monotonic.
8 Riemann-Stieltjes Integral

Ø Properties of Integral
i) If f ÎR(a ) on [a, b] , then cf ÎR(a ) for every constant c and
b b

òa cf da = c òa f da .
Proof
Q f Î R (a )
\ $ a partition P such that
U ( P, f ,a ) - L ( P, f ,a ) < e , where e is an arbitrary +ive number.
n n
Now U ( P, cf ,a ) = å cM i Da i = c å M i Da i
i =1 i =1
n n
& L ( P, cf ,a ) = å cmi Da i = c å mi Da i
i =1 i =1

Þ U ( P, f ,a ) - L ( P, f ,a ) = c éëå M i Da i - å mi Da i ùû
= c éëU ( P, f ,a ) - L ( P, f ,a ) ùû
< ce = e1
Þ cf ÎR(a )
Q U ( P, cf ,a ) = c éëU ( P, f ,a ) ùû & L ( P, cf ,a ) = c éë L ( P, f ,a ) ùû
\ inf U ( P, cf ,a ) = c éëinf U ( P, f ,a ) ùû & sup L ( P, cf ,a ) = c éësup L ( P, f ,a ) ùû
where infimum and supremum are taken over all P on [a, b] .
b b b b
Þ ò cf da = c ò f da & ò cf da = c ò f da
a a a a
b b b b
Q ò cf da = ò cf da
a a
and ò f da = ò f d a
a a
b b
\ òa cf da = c òa f da ¤

ii) If f1 ÎR (a ) and f 2 ÎR (a ) on [a, b] , then f1 + f 2 ÎR (a ) and

b b b

òa ( f1 + f 2 ) da = òa f1 da + òa f 2 da .
Proof
If f = f1 + f 2 and P is any partition of [a, b] , we have
mi¢ + mi¢¢ £ mi £ M i £ M i¢ + M i¢¢
where M i¢ , mi¢ , M i¢¢, mi¢¢ and M i , mi are the bounds of f1 , f 2 and f respectively in
[ xi-1, xi ] .
Multiplying throughout by Da i and adding the inequalities for i = 1,2,...., n ,
we get
L ( P , f1 ,a ) + L ( P , f 2 ,a ) £ L ( P , f ,a ) £ U ( P, f ,a ) £ U ( P, f1 ,a ) + U ( P , f 2 ,a ) ….....(i)
Since f1 ÎR (a ) and f 2 ÎR (a ) on [a, b] therefore $ e > 0 and there are
partitions P1 and P2 such that
U ( P1 , f1 ,a ) - L ( P1 , f1 ,a ) < e
ü
ý ………….. (ii)
and U ( P2 , f 2 ,a ) - L ( P2 , f 2 ,a ) < e þ
These inequalities hold if P1 and P2 are replaced by their common refinement P .
 Riemann-Stieltjes Integral 9

(ii) Þ éëU ( P, f1 ,a ) + U ( P, f 2 ,a ) ùû - éë L ( P, f1,a ) + L ( P, f 2 ,a ) ùû < 2e

Using (i) we have
U ( P, f ,a ) - L ( P, f ,a ) < 2e
which proves that f ÎR(a ) on [a, b]
With the same partition P , we have
b
U ( P, f1,a ) < òa f1 da + e
b
and U ( P, f 2 ,a ) < òa f 2 da + e
Hence (i) implies that
b b b

òa f da £ U ( P, f ,a ) < òa f1 da + òa f 2 da + 2e
Q e is arbitrary, we conclude that
b b b

òa f da £ òa f1 da + òa f 2 da
Similarly if we consider the lower sums we arrive at
b b b

òa f da ³ òa f1 da + òa f 2 da
Combining the above two results, we have
b b b

òa f da = òa f1 da + òa f 2 da ¤

iii) If f1 ( x) £ f 2 ( x) on [a, b] , then

b b

òa f1 da £ òa f 2 da
Proof
Let f ( x ) ³ 0 , then M i ³ 0 Þ U ( P , f ,a ) ³ 0
b
and \ òa f da ³ 0

Q f1 £ f 2 \ f 2 - f1 ³ 0
b b b
Þ òa ( f 2 - f1 ) da ³ 0 Þ òa f 2 da - òa f1 da ³ 0
b b
Þ òa f1 da £ òa f 2 da ¤

Ø Note
(i) (f+ g ) ( x ) = f ( x ) + g ( x ) £ sup f + sup g
Þ sup ( f + g ) £ sup f + sup g

(ii) (f+ g ) ( x) = f ( x) + g ( x) ³ inf f + inf g

Þ inf ( f + g ) ³ inf f + inf g
10 Riemann-Stieltjes Integral

iv) If f ÎR(a ) on [a, b] and if a < c < b , then f ÎR(a ) on [a, c ] and on [c, b]
and
b c b

òa f da = òa f da + òc f da
Proof
Since f ÎR(a ) on [a, b] , therefore for e > 0 , $ a partition P such that
U ( P, f ,a ) - L ( P, f ,a ) < e
Let P* be the refinement of P such that P* = P È {c}
( ) ( )
\ L ( P, f ,a ) £ L P* , f ,a £ U P* , f ,a £ U ( P, f ,a ) ….…...... (i)
Þ U ( P , f ,a ) - L ( P , f ,a ) £ U ( P , f ,a ) - L ( P, f ,a ) < e
* *
……….(ii)
Let P1 , P2 denote the sets of points of P* between [a, c ] , [c, b] respectively.
Clearly P1 , P2 are partitions of [a, c ] , [c, b] respectively and P* = P1 È P2 .
Also ( )
U P* , f ,a = U ( P1 , f ,a ) + U ( P2 , f ,a ) ……….. (iii)
and L ( P , f ,a ) = L ( P , f ,a ) + L ( P , f ,a ) ………… (iv)
*
1 2

\ {U ( P1 , f ,a ) - L ( P1, f ,a )} + {U ( P2 , f ,a ) - L ( P2 , f ,a )}
( ) ( )
= U P * , f ,a - L P * , f ,a < e
Since each bracket on the left is non-negative, it follows that
U ( P1, f ,a ) - L ( P1, f ,a ) < e
and U ( P2 , f ,a ) - L ( P2 , f ,a ) < e
Þ f ÎR (a ) on [a, c ] and on [c, b] .
We know that for any functions f1 and f 2 , if f = f1 + f 2 , then
inf f ³ inf f1 + inf f 2
and sup f £ sup f1 + sup f 2
Now for any partitions P1 , P2 of [a, c ] , [c, b] respectively, if P* = P1 È P2 , then
( )
U P* , f ,a = U ( P1 , f ,a ) + U ( P2 , f ,a )
Hence on taking the infimum for all partitions, we get
b c b

ò f da
a
³ ò f da + ò f da
a c
But since f ÎR(a ) on [a, c ] , [c, b] , [a, b ]
b c b
\ òa f da ³ òa f da + òc f da …………. (v)

Again ( )
L P* , f ,a = L ( P1 , f ,a ) + L ( P2 , f ,a )
and on taking the supremum for all partitions, we get
b c b

ò f da
a
£ ò f da + ò f da
a c

But since f ÎR(a ) on [a, c ] , [c, b] , [a, b ]

b c b
\ òa f da £ òa f da + òc f da ……………(vi)

(v) and (vi) imply that

b c b

òa f da = òa f da + òc f da ¤
 Riemann-Stieltjes Integral 11

v) If f ÎR(a ) on [a, b] and f ( x ) £ M on [a, b] , then

b

ò f da £ M [a (b) - a (a )]
a

Proof
We know that
b

òa f da £ U ( P, f ,a )

= å M i Da i £ M å Da i
But
å Da i = a (b) - a (a )
b
Þ ò f da £ M [a (b) - a (a ) ] ¤
a

vi) If f ÎR (a1 ) and f ÎR(a 2 ) , then f Î R(a1 + a 2 ) and

b b b

òa f d (a1 + a 2 ) = òa f da1 + òa f da 2
and if f ÎR(a ) and c is a positive constant, then f ÎR(ca ) and
b b

òa f d (ca ) = c òa f da
Proof
Since f ÎR (a1 ) and f ÎR(a 2 ) , therefore for e > 0 , there exists partitions
P1, P2 of [a, b] such that
e
U ( P1, f ,a1 ) - L ( P1 , f ,a1 ) <
2
e
and U ( P2 , f ,a 2 ) - L ( P2 , f ,a 2 ) <
2
Let P = P1 È P2
e ü
\ U ( P, f ,a1 ) - L ( P, f ,a1 ) <
2 ïï ………….. (i)
ý
e ï
& U ( P, f ,a 2 ) - L ( P, f ,a 2 ) <
2 ïþ
Let mi , M i be bounds of f in [ xi -1, xi ]
Take a = a1 + a 2
Þ Da i = Da1i + Da 2 i
\ U ( P , f ,a ) = å M i Da i
(
= å M i Da1i + Da 2 i )
= U ( P, f ,a1 ) + U ( P, f ,a 2 )
Similarly
L ( P, f ,a ) = L ( P, f ,a1 ) + L ( P, f ,a 2 )
\ U ( P, f ,a ) - L ( P, f ,a ) = U ( P, f ,a1 ) - L ( P, f ,a1 ) + U ( P, f ,a 2 ) - L ( P, f ,a 2 )
e e
< + = e by (i)
2 2
Þ f ÎR (a ) where a = a1 + a 2
12 Riemann-Stieltjes Integral

To prove the second part, we notice that

b

òa f da = inf U ( P, f ,a )

= inf {U ( P, f ,a1 ) + U ( P, f ,a 2 )}
³ inf U ( P, f ,a1 ) + inf U ( P, f ,a 2 )
b b
= òa f da1 + òa f da 2 ………….... (ii)

Similarly by taking the supremum of lower sum of partition we arrive that

b b b

òa f da £ òa f da1 + òa f da 2 ……...…….. (iii)

From (ii) and (iii)

b b b

òa f da = òa f da1 + òa f da 2
b b b
i.e. òa f d (a1 + a 2 ) = òa f da1 + òa f da 2 Q a = a1 + a 2

Now Q f Î R (a ) \ for e > 0 , $ a partition P of [a, b] such that

U ( P, f ,a ) - L ( P, f ,a ) < e …………. (iv)
Let a ¢ = ca then Da i¢ = D (ca i ) = cDa i
Þ U ( P, f ,a ¢ ) = å M i Da i¢
= å M i ( cD a i )
= c å M i Da i
= c U ( P , f ,a )
Similarly, L ( P, f ,a ¢) = c L ( P, f ,a )
Þ U ( P, f ,a ¢ ) - L ( P, f ,a ¢) = c {U ( P, f ,a ) - L ( P, f ,a )} < c e by (iv)
Þ f ÎR (a ¢) where a ¢ = ca
b
Also òa f da ¢ = inf U ( P, f ,a ¢ )
= inf c U ( P, f ,a )
= c inf U ( P, f ,a )
b
= c ò f da
a
and
b

òa f da ¢ = sup L ( P, f ,a ¢ )
= sup cU ( P, f ,a )
= c supU ( P, f ,a )
b
= c ò f da
a
Hence
b b

òa f da ¢ = c òa f da where a ¢ = ca ¤
 Riemann-Stieltjes Integral 13

Ø Lemma
If M & m are the supremum and infimum of f and M ¢ , m¢ are the
supremum & infimum of f on [a, b] then M ¢ - m¢ £ M - m .
Proof
Let x1, x2 Î [a, b] , then
f ( x1 ) - f ( x2 ) £ f ( x1 ) - f ( x2 ) ………………(A)
Q M and m denote the supremum and infimum of f ( x) on [a, b]
\ f ( x) £ M & f ( x ) ³ m " x Î [ a, b]
Q x1 , x2 Î [a, b]
\ f ( x1 ) £ M and f ( x2 ) ³ m
Þ f ( x1 ) £ M and - f ( x2 ) £ - m
Þ f ( x1 ) - f ( x2 ) £ M - m ……………... (i)
Interchanging x1 & x2 , we get
- [ f ( x1 ) - f ( x2 )] £ M - m ………….. (ii)
(i) & (ii) Þ f ( x1 ) - f ( x2 ) £ M - m
Þ f ( x1 ) - f ( x2 ) £ M - m by eq. (A) …….…..(I)
Q M ¢ and m¢ denote the supremum and infimum of f ( x ) on [a, b]
\ f ( x) £ M ¢ and f ( x) ³ m¢ " x Î [a, b]
Þ $ e > 0 such that
f ( x1 ) > M ¢ - e ………….. (iii)
and f ( x2 ) < m¢ + e Þ - f ( x2 ) + e > - m¢ ………….. (iv)
From (iii) and (iv), we get
f ( x1 ) - f ( x2 ) + e > M ¢ - m¢ - e
Þ 2e + f ( x1 ) - f ( x2 ) > M ¢ - m¢
Q e is arbitrary \ M ¢ - m¢ £ f ( x1 ) - f ( x2 ) …….…..…. (v)
Interchanging x1 & x2 , we get
M ¢ - m¢ £ - ( f ( x1 ) - f ( x2 ) ) …………… (vi)
Combining (v) and (vi), we get
M ¢ - m¢ £ f ( x1 ) - f ( x2 ) ……………. (II)
From (I) and (II), we have the require result
M ¢ - m¢ £ M - m ¤

Ø Theorem
b b
If f ÎR(a ) on [a, b] , then f ÎR (a ) on [a, b] and ò f da
a
£ ò
a
f da .

Proof
Q f Î R (a )
\ given e > 0 $ a partition P of [a, b] such that
U ( P, f ,a ) - L ( P, f ,a ) < e
i.e. åM i Da i - å mi Da i = å ( M i - mi ) Da i < e
Where M i and mi are supremum and infimum of f on [ xi -1, xi ]
Now if M i¢ and mi¢ are supremum and infimum of f on [ xi -1, xi ] then
M i¢ - mi¢ £ M i - mi
14 Riemann-Stieltjes Integral

Þ å ( M ¢ - m¢ ) Da £ å ( M - m ) Da
i i i i i i

Þ U ( P , f ,a ) - L ( P, f ,a ) £ U ( P , f ,a ) - L ( P , f ,a ) < e
Þ f ÎR (a ) .
Take c = +1 or -1 to make c ò f da ³ 0
b b
Then ò f da
a
= c ò f da …….……… (i)
a

Also c f ( x) £ f ( x) " x Î [ a, b]
b b b b
Þ òa c f da £ òa f da Þ c ò f da £
a
òa f da ………. (ii)

From (i) and (ii), we have

b b

ò f da
a
£ ò
a
f da ¤

Ø Theorem
If f ÎR(a ) on [a, b] , then f 2 ÎR (a ) on [a, b] .
Proof
Q f ÎR(a ) Þ f ÎR (a )
Þ f ( x) < M " x Î [ a, b]
Q f Î R (a ) \ given e > 0 , $ a partition P of [a, b] such that
U ( P, f ,a ) - L ( P, f ,a ) < e ………… (i)
2M
If M i & mi denote the sup. & inf. of f on [ xi -1, xi ] then M i2 & mi2 are the
sup. & inf. of f 2 on [ xi -1, xi ] .
( ) (
Þ U P, f 2 ,a - L P, f 2 ,a = å M i2 - mi2 Da i ) ( )
= å ( M i + mi )( M i - mi ) Da i
Q f ( x) £ f ( x) £ M " x Î [ a, b]
2
and f 2 = f
\ M i £ M & mi £ M
( ) ( )
Þ U P, f 2 ,a - L P, f 2 ,a £ å ( M + M ) ( M i - mi ) Da i
= 2 M å ( M i - mi ) Da i
e
= 2 M éëU ( P, f ,a ) - L ( P, f ,a ) ùû < 2 M × =e
2M
Þ f 2 ÎR(a ) ¤

Ø Corollary
If f ÎR(a ) & g ÎR (a ) on [a, b] then fg ÎR(a ) on [a, b] .
Proof
Q f Î R (a ) , g ÎR (a )
\ f + g ÎR(a ) , f - g ÎR (a )
Þ ( f + g )2 ÎR(a ) , ( f - g ) 2 ÎR (a )
Þ ( f + g )2 - ( f - g ) 2 ÎR (a ) Þ 4 fg ÎR (a )
and ultimately
fg ÎR(a ) on [a, b] ¤
 Riemann-Stieltjes Integral 15

Ø Theorem
Assume a increases monotonically and a ¢ ÎR on [a, b] . Let f be bounded
real function on [a, b] . Then f ÎR(a ) iff f a ¢ ÎR . In that case
b b

òa f da = òa f ( x) × a ¢( x) dx
Proof
Q a ¢ Î R on [a, b]
\ given e > 0 $ a partition P of [a, b] such that
U ( P,a ¢ ) - L ( P,a ¢) < e ….……..…. (i)
The Mean-value theorem furnishes point ti Î [ xi -1, xi ] such that
Da i = a ( xi ) - a ( xi -1 )
= a ¢(ti ) Dxi for i = 1,2,...., n …………. (ii)
If si Î [ xi -1, xi ] , then form (i) we have
åa ¢( si ) Dxi - åa ¢(ti ) Dxi < e | Previously proved at page 6
Þ å a ¢(si ) - a ¢(ti ) Dxi < e …………… (iii)
Put M = sup f ( x) and consider
å f ( si ) Dai -å f ( si )a ¢( si ) Dxi …………….. (A)
= å f ( si )a ¢(ti ) Dxi -å f ( si )a ¢( si ) Dxi by (ii)
= å f ( si ) (a ¢(ti ) - a ¢( si ) ) Dxi
£ å M (a ¢(ti ) - a ¢( si ) ) Dxi
£ Me …………..…….. (iv) by (iii)
Þ å f ( si ) Da i £ å f ( si )a ¢( si ) Dxi + M e for all choices of si Î [ xi -1, xi ]
Þ U ( P, f ,a ) £ U ( P, f a ¢) + M e
The same arguments leads from (A) to
U ( P, f a ¢ ) £ U ( P, f ,a ) + M e
Thus U ( P, f ,a ) - U ( P, f a ¢) £ M e ………..…. (v)
Q (i) remains true if P is replaced by any refinement
\ (v) also remains true
b b
Þ ò f da - ò f ( x)a ¢( x) dx
a a
£ Me

Q e was arbitrary
b b
\ òa f da = òa f ( x)a ¢( x) dx for any bounded f .

Using the same argument, we can prove from (iv ) by considering the infimum of
f ( x) that
b b

ò f da = ò f ( x)a ¢( x) dx
a a

Hence
b b b b

ò f da = ò f da
a a
Û ò f ( x)a ¢( x) dx = ò f ( x)a ¢( x) dx
a a

Equivalently f ÎR(a ) Û f a ¢ ÎR(a ) . ¤

16 Riemann-Stieltjes Integral

Ø Theorem (Change of Variable)

Suppose j is a strictly increasing continuous function that maps an interval
[ A, B] onto [a, b] . Suppose a is monotonically increasing on [a, b] and f ÎR(a )
on [a, b] . Define b and g on [ A, B ] by
b ( y ) = a ( j ( y ) ) , g ( y ) = f (j ( y ) )
B b
then g ÎR ( b ) and òA g d b = òa f da .
Proof
b

f a(f(y))= b(y)
y x=f(y)
f f(f(y))= g(y)
[a,b]
[A,B]
R
g

To each partition P = { x0 ,....., xn } of [a, b] corresponds a partition

Q = { y0 ,....., yn } of [ A, B ] because j maps [ A, B ] onto [a, b] .
Þ xi = j ( yi )
All partitions of [ A, B ] are obtained in this way.
Q The value taken by f on [ xi -1, xi ] are exactly the same as those taken by g
on [ yi -1 , yi ] , we see that
U ( Q, g , b ) = U ( P, f ,a )
and L ( Q, g , b ) = L ( P, f ,a )
Q f Î R(a ) on [a, b]
\ given e > 0 , we have
U ( P, f ,a ) - L ( P, f ,a ) < e
Þ U ( Q, g , b ) - L ( Q, g , b ) < e
B b
Þ g ÎR( b ) and òA g d b = òa f da ¤

{{{{{{{{{{{{{{{{{{{{{{{{{{{{{{{{{{{{
 Riemann-Stieltjes Integral 17

INTEGRATION AND DIFFERENTIATION

Ø Theorem (Ist Fundamental Theorem of Calculus)
x
Let f ÎR on [a, b] . For a £ x £ b , put F ( x) = ò f (t ) dt , then F is continuous
a
on [a, b] ; furthermore, if f is continuous at point x0 of [a, b] , then F is
differentiable at x0 , and F ¢( x0 ) = f ( x0 ) .
Proof
Q f ÎR
\ f is bounded.
Let f (t ) £ M for t Î [a, b]
If a £ x < y £ b , then a x y b
y x
F ( y) - F ( x) = ò f (t ) dt - ò f (t ) dt
a a
x y x
= ò f (t ) dt + ò f (t ) dt - ò f (t ) dt
a x a
y y y
= ò f (t ) dt
x
£ òx f (t ) dt £ M ò dt = M ( y - x)
x

Þ F ( y ) - F ( x) < e for e > 0 provided M y - x < e

e
i.e. F ( y ) - F ( x ) < e whenever y - x <
M
This proves the continuity (and, in fact, uniform continuity) of F on [a, b] .
Next, we have to prove that if f is continuous at x0 Î [a , b] then F is
differentiable at x0 and F ¢( x0 ) = f ( x0 )
F (t ) - F ( x0 )
i.e. lim = f ( x0 )
t ® x0 t - x0
Suppose f is continuous at x0 . Given e > 0 , $ d > 0 such that
f (t ) - f ( x0 ) < e if t - x0 < d where t Î [a, b]
Þ f ( x0 ) - e < f (t ) < f ( x0 ) + e if x0 - d < t < x0 + d
t t t t
Þ ò ( f ( x ) - e ) dt
x0
0 < ò f (t ) dt
x0
< ò ( f ( x ) + e ) dt
x0
0
a x0 – d x0 x0+d

t t t
Þ ( f ( x0 ) - e ) ò dt < ò f (t ) dt < ( f ( x0 ) + e ) ò dt
x0 x0 x0

Þ ( f ( x0 ) - e ) (t - x0 )
< F (t ) - F ( x0 ) < ( f ( x0 ) + e ) (t - x0 )
F (t ) - F ( x0 )
Þ f ( x0 ) - e < < f ( x0 ) + e
t - x0
F (t ) - F ( x0 )
Þ - f ( x0 ) < e
t - x0
F (t ) - F ( x0 )
Þ lim = f ( x0 )
t ® x0 t - x0
Þ F ¢( x0 ) = f ( x0 ) ¤

˜ --------------------------------- ™
18 Riemann-Stieltjes Integral

Ø Theorem (IInd Fundamental Theorem of Calculus)

If f ÎR on [a, b] and if there is a differentiable function F on [a, b] such that
F ¢ = f , then
b

òa f ( x) dx = F (b) - F (a)
Proof
Q f Î R on [a, b]
\ given e > 0 , $ a partition P of [a, b] such that
U ( P, f ) - L ( P, f ) < e
Q F is differentiable on [a, b]
\ $ ti Î [ xi-1 , xi ] such that
F ( xi ) - F ( xi -1 ) = F ¢(ti )Dxi
Þ F ( xi ) - F ( xi -1 ) = f (ti ) Dxi for i = 1,2,...., n Q F¢ = f
n
Þ å f (t ) Dx
i =1
i i = F (b) - F (a )
Q if f Î R (a ) then

å f (t ) Da - ò
b b
f da < e
Þ F (b) - F (a ) - ò f ( x) dx < e i i
a

a
Q e is arbitrary
b
\ òa f ( x) dx = F (b) - F (a) ¤

Ø Theorem (Integration by Parts)

Suppose F and G are differentiable function on [a, b] , F ¢ = f ÎR and
G¢ = g ÎR then
b b

òa F ( x) g ( x) dx = F (b) G (b) - F (a) G(a) - òa f ( x) G ( x) dx

Proof
Put H ( x) = F ( x) G ( x )
Þ H ¢ = F ¢( x) G ( x) + F ( x ) G¢( x) = h
Now Q H Î R and h ÎR on [a, b]
\ By applying the fundamental theorem of calculus to H and its derivative h ,
we have
b

òa h dx = H (b) - H (a)
b
Þ òa [ F ¢( x) G ( x) + F ( x) G¢( x)] dx = H (b) - H (a)
b b
Þ òa f ( x) G ( x) dx + òa F ( x) g ( x) dx = F (b) G (b) - F (a) G (a)
b b
Þ òa F ( x) g ( x) dx = F (b) G(b) - F (a) G (a) - òa f ( x) G ( x) dx ¤

˜ ---------------------------------- ™
Made by: Atiq ur Rehman (atiq@mathcity.tk)
Available online at http://www.mathcity.tk in PDF Format.
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2

Printed: 15 April 2004 (Revised: June 08, 2004.)

 Riemann-Stieltjes Integral 19

Ø Question
Show that the function f defined on [ 0,1] by
ì1 ; x is rational
f ( x) = í
î0 ; x is irrational
is not integrable on [ 0,1]
Solution
For any partition P of [ 0,1] , mk = 0 , M k = 1
n n
Þ S ( P, f ) = å M k Dxk = å Dxk = 1 - 0 = 1
k =1 k =1
n
and L ( P, f ) = å mk Dxk = 0
k =1
1 1
so that ò f dx = 1 , ò f dx = 0
0 0
1 1
i.e. ò f dx ¹ ò f dx Þ f is not integrable on [ 0,1] . ¤
0 0

Ø Question
é pù
Show that f ( x ) = sin x is Riemann integrable over ê0, ú .
ë 2û
Solution
ì p p 3p np ü é pù
Take P = í0, , , ,....., ý by dividing ê0, ú into n equal parts.
î 2n n 2n 2n þ ë 2û
kp (k - 1)p
Then M k = sin , mk = sin
2n 2n
æ kp (k - 1)p ö p
Þ S ( P, f ) - L ( P, f ) = å ç sin - sin ÷
è 2n 2n ø 2n
p p
£ <e for n > n0 =
2n 2e
é pù
Þ f is Riemann integrable over ê0, ú . ¤
ë 2û
Ø Question
ìï 1 ; x is rational , 0 < x £ 1
Show that f ( x) = í x
ïî 0 ; x is irrational
is integrable on [ 0,1] .
Solution
f is continuous at each irrational. And rational numbers are dense in [ 0,1] .
1
Also L ( P, f ) = 0 for any partition P of [ 0,1] so that ò f dx = 0
0
1
Q f ³ 0 \ S ( P, f ) ³ 0 Þ ò f da ³ 0 ……..…. (i)
0
20 Riemann-Stieltjes Integral

p æ pö q e
Q There are only finite number of points (rationals) for which f ç ÷ = ³
q èqø p 2
e
\ Suppose f ( x ) ³ for k values of x in [ 0,1]
2
e
Take P1 such that P1 < .
2k
n
Consider S ( P1 , f ) = å M i ( xi - xi -1 )
i =1
e e
There are at most k values for which £ M i £ 1 . For all other values M i > .
2 2
Þ S ( P1, f ) = å
k values
M i ( xi - xi -1 ) + å M i ( xi - xi -1 )
other values

e e e e
£ × k + å ( xi - xi -1 ) < + = e
2k 2 2 2
Q e is arbitrary
1

\ S ( P1 , f ) £ 0 and ò f dx £ 0 ………… (ii)

0
By (i) and (ii), we have
1

ò f dx = 0
0
1
Hence ò0 f dx = 0 ¤

Ø Note
If f is integrable then f is also integrable but the converse is false.
For example, let f be a function defined on [a, b] by
ì 1 ; x Î ¤ Ç [ a, b]
f ( x) = í
î -1 ; otherwise
Then f is Riemann-integrable but f is not.

References: (1) Lectures (Year 2003-04)

Prof. Syyed Gul Shah
Chairman, Department of Mathematics.
University of Sargodha, Sargodha.
(2) Book
Mathematical Analysis
Tom M. Apostol (John Wiley & Sons, Inc.)
Made by: Atiq ur Rehman (atiq@mathcity.org)
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