The Lebesgue-Stieltjes integral is a generalization of the Lebesgue integral, which allows for integration with respect to a more general type of measure. Specifically, it integrates a function with respect to another function , where is a non-decreasing function. The integral is denoted as:
This formulation enables the integration of functions that may not be absolutely continuous, thereby expanding the types of functions and measures that can be integrated. It is particularly useful in probability theory and in the study of stochastic processes, as it allows for the integration of random variables with respect to cumulative distribution functions. The properties of the integral, including linearity and monotonicity, make it a powerful tool in analysis and applied mathematics.
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