The Stieltjes Integral

Abstract

Motivated by the limitations of the traditional definitions of the Riemann-Stieltjes and Darboux-Stieltjes integrals, we introduce a generalized Darboux-Stieltjes integral that is equivalent to an earlier generalization by Ross [19]. Our definition builds upon an approach to the Darboux-Stieltjes integral recently introduced by the first author and Convertito [5]. We show that our definition agrees with all previous definitions, but that the class of integrable functions is much larger. We develop all the analogs of the classic results for the Riemann integral, and rectify the problems inherent in the definition of the Darboux-Stieltjes integral in [5]. In particular, we show the Bounded Convergence Theorem holds for our definition and that it agrees with the Lebesgue-Stieltjes integral. CONTENTS 1.