The Riemann-Stieltjes Integral

A. X. Athens
December 2011
Contents
1 Introduction 1
2 Functions of bounded variation 2
3 The Riemann-Stieltjes Integral 7
1 Introduction
The Riemann-Stieltjes (RS) integral is often used for introductory courses
on analysis because it is adequate for much of real and complex analy-
sis and takes less work to develop than the Lebesgue integral. Its very
construction reveals the meaning of integration along paths in a way
that is lacking in other approaches. While this integral is good for one
dimension of the independent variable (intervals in R and paths in C
or R
n
), its generalization to two or more dimensions is limited to sim-
ple geometries like rectangles. This is where measure theory and the
Lebesgue integral become indispensable.
On a nite interval [a, b], the class of Lebesgue integrable functions
includes all RS integrable function. On the other hand, there are situ-
ations where the Lebesgue integral does not exist but the RS integral
provides a useful limit (principal values and improper integrals).
Our treatment will be suciently general to allow for real, complex
and vector valued functions. In fact, we permit functions to take values
in an arbitrary Banach space.
1
2 Functions of bounded variation
If < and
= t
0
t
1
t
n
= (1)
then the sequence P = {t
0
, t
1
, . . . , t
n
} is called a partition of the interval
[, ]. When P and Q are partitions of the interval [, ] such that P
is a subsequence of Q, we write P Q and say that Q is a renement
of P. Now let E be a Banach space and f : [, ] E. If P is the
partition (1) let
V
P
(f) =
n

k=1
f (t
k
) f (t
k1
) . (2)
It is easy to deduce that if Q is a renement of P then V
P
(f) V
Q
(f).
The non-negative number
V
f
= sup {V
P
(f) : P is a partition of [, ] } (3)
is called the total variation of f. If V
f
< then f is said to have
bounded variation. It is easy to verify that f must be bounded for f
to have bounded variation.
For convenience, we allow partitions to contain two or more repe-
titions of the same point. This is trivial as regards (2) because the
partition obtained by deleting all repetitions gives the same value.
Suppose that f, g : [, ] E have bounded variation and c is a
scalar. Then it is easy to show that
V
f+g
V
f
+ V
g
and V
cf
= |c| V
f
. (4)
Consequently, the set BV(, , E) of all functions of bounded variation
is a linear subspace of the space of bounded functions on [, ].
Let E, F and G be Banach spaces with a binary operation EF G
such that xy x y for x Eand y F. Suppose f BV(, , E)
and g BV(, , F). Then f g : [, ] G where the product is
dened pointwise. Using the triangle inequality, it is straightforward to
show that
V
fg
V
f
g

+ V
g
f

(5)
where f

= sup{f(t) : t } as usual.
2
Example 1 Suppose f : [, ] R is increasing. Then it is easy to
deduce that f has bounded variation with V
f
= f () f ().
Example 2 Suppose f : [, ] E is dierentiable and f

is bounded.
An easy application of the mean value theorem then shows that f has
bounded variation.
The following results give some insight into the nature of functions of
bounded variation.
Theorem 3 If g BV(, , E) then g has a limit from the left at every
t (, ] and a limit from the right at every t [, ).
Proof. Suppose g does not have a limit from the left at s (, ]. Then
there exists an > 0 such that
sup
st<s
g (t) g (s ) 2
whenever 0 < s . Putting t
1
=
1
2
( + s) this allows us to
choose t
2
(t
1
, s) so that g (t
2
) g (t
1
) . Similarly we can choose
t
3
(t
2
, s) so that g (t
3
) g (t
2
) . Proceeding by induction, we
obtain a sequence t
1
< t
2
< < s such that g (t
n+1
) g (t
n
) for
all n. This shows that g cannot have bounded variation because
n+1

i=2
g (t
i
) g (t
i1
) n
for all positive integers n. A similar argument with respect to limits
from the right completes the proof.
Theorem 4 Let f BV(, , E) and dene J
f
: [, ] R by
J
f
(t) = lim
0
sup {f (s) f (t) : s and |s t| } .
(a) If > 0 then there exist only nitely many points t such
that J
f
(t) .
(b) The map f is continuous at t if and only if J
f
(t) = 0.
(c) The set of all discontinuities of f is countable.
3
The map J
f
is called the jump function.
Proof. Suppose there are n points < t
2
< t
4
< < t
2n
< such
that J
f
(t
2k
) for 1 k n. Choose intermediate points
t
1
< t
2
< < t
2n
< t
2n+1

so that either f (t
2k
) f (t
2k1
) /2 or f (t
2k
) f (t
2k+1
) /2
for each k. Then
V
f

2n+1

k=2
f (t
k
) f (t
k1
)
n
2
so that n 2V
f
/. This proves (a).
Part (b) is obvious from the denition of the jump function. To
prove (c), let D
n
be the set of all t for which J
f
(t) 1/n. Then
D =

n=1
D
n
is the set of all discontinuities of f. Since D is a countable
union of nite sets, D is countable.
Not all continuous functions have bounded variation. For instance,
the reader can verify that
f(t) =
_
0 for t = 0
t sin(1/t) for 0 < t 1
has V
f
= . Recall that a function f : [, ] E is said to be piece-
wise continuous if it is continuous everywhere except for a nite num-
ber of points t
k
say where it has a limit f(t
k
) from below for
t
k
> and a limit f(t
k
+) from above for t
k
< . We say f is piecewise
C
1
if f has a piecewise continuous derivative. For a function dened on
an unbounded interval such as [a, ), we allow only a nite number
of discontinuities in any nite subinterval. We shall see later that any
piecewise C
1
function on a bounded interval has bounded variation.
2.1 The Variation Function
We now elaborate the notation (3) as follows. If [, ] I where I is a
real interval and f : I E then
V
f
(, ) sup {V
P
(f) : P is a partition of [, ] } .
With xed, we put V
f
(t) V
f
(, t) for t . The map V
f
is
called the variation function of f.
4
Theorem 5 Let < < and f : [, ] E. If f BV(, , E) and
f BV(, , E) then f BV(, , E).
Proof. Let P be a partition of [, ]. Insert the point as necessary to
obtain a renement Q of the form
= s
0
s
m
= = t
0
t
n
= .
Setting Q
1
= {s
0
, . . . , s
m
} and Q
2
= {t
0
, . . . , t
n
} we have
V
P
(f) V
Q
(f)
=
m

j=1
f (s
j
) f (s
j1
) +
n

k=1
f (t
k
) f (t
k1
)
= V
Q
1
(f) + V
Q
2
(f)
V
f
(, ) + V
f
(, )
as required.
Theorem 6 Let < and f BV(, , E).
(a) If t then V
f
(, ) = V
f
(, t) + V
f
(t, ).
(b) The variation function V
f
is increasing.
(c) If f is continuous on the right at [, ) then so is V
f
.
The formulation and proof of the left sided version of (c) is left to the
reader. Thus, if f is continuous at [, ] then so is V
f
.
Proof. To prove (a), let P be a partition of [, t] and Q be a partition
of [t, ]. Then
V
PQ
(f) = V
P
(f) + V
Q
(f)
which, by considering suprema, shows that V
f
(, ) V
f
(, t)+V
f
(t, )
and V
f
(, ) V
f
(, t) + V
f
(t, ). This establishes (a) and (b) is an
immediate consequence.
The non-trivial part (c) will now be proved. Suppose f is continuous
on the right at . If we can deduce that
lim
t+
V
f
(, t) = 0 (6)
5
then it will follow by (a) that V
f
is continuous on the right at . To obtain
a contradiction, suppose the limit is non-zero. Since V
f
is increasing,
there is a > 0 such that
V
f
(, t) > for all < t .
Given < s , we can choose a partition = t
0
< t
1
< < t
n
= s
of [, s] such that
n

k=1
f (t
k
) f (t
k1
) > . (7)
By continuity of f on the right, it is possible to choose s
1
with <
s
1
< t
1
so that (7) holds with t
0
= replaced by s
1
. Consequently,
V
f
(s
1
, s) > . This procedure may be repeated to yield < s
2
< s
1
such that V
f
(s
2
, s
1
) > and hence V
f
(s
2
, s) > 2. After N steps we
obtain V
f
(s
N
, s) > N. This contradicts the hypothesis of bounded
variation, thereby establishing (6) as required.
Lemma 7 Let f : [, ] R be a function of bounded variation.
Then there exist unique real-valued functions g and h on [, ] such
that g () = 0 = h() and
f (t) f () = g (t) h(t) (8)
V
f
(t) = g (t) + h(t) (9)
for t . Moreover, g and h are both increasing. If f is continuous
then so are g and h.
Thus, a real valued function has bounded variation if and only if it can
be expressed as a dierence of increasing functions.
Proof. Adding and subtracting (8) and (9) leads to
2g = V
f
+ f f () and 2h = V
f
f + f ()
as the only possible choice for g and h. This denition satises (8), (9)
and g () = 0 = h(). If s < t then
2g (t) 2g (s) = V
f
(s, t) + f (t) f (s) 0
using Theorem 6. Similar reasoning shows that h is increasing. Finally,
if f is continuous then so is V
f
by Theorem 6 and this makes g and h
continuous by their denitions.
6
3 The Riemann-Stieltjes Integral
We now develop the Riemann-Stieltjes integral from rst principles. Al-
though the reader may be familiar with the Riemann integral, our de-
velopment will be complete and self contained.
Given > 0, we dene a -partition of [, ] to be a partition
P : = t
0
t
1
t
n
= (10)
such that
|P| max
1kn
(t
k
t
k1
) .
We call an n-tuple c = (c
1
, . . . , c
n
) satisfying
t
k1
c
k
t
k
for 1 k n (11)
an interstitial vector with respect to P.
Let E, F, and G be Banach spaces over the same base eld k = R
or k = C. Suppose given a bilinear operation EF G such that
xy x y and (x) y = (xy) = x(y) (12)
for all k, x E, y F. Specic cases of interest are multiplication of
scalars k k k, scalar multiplication of vectors k E E and the
inner product EE R when E is a real Hilbert space. Now let
f : [, ] E and g : [, ] F.
We shall refer to
S (f, g, P, c)
n

k=1
f(c
k
)[g(t
k
) g(t
k1
)]
as a Riemann-Stieltjes sum or more briey an RS-sum. The simpler
notation S(P, c) will also be used when f and g remain xed throughout
an argument or discussion. There exists at most one vector L G
satisfying the following condition:
For each > 0 then there exists a > 0 such that
S (f, g, P, c) L <
whenever P is a -partition and c is an interstetial vector.
7
When the limit exists, we say f is Riemann-Stieltjes integrable with
respect to g and call L the Riemann-Stieltjes integral. We shall also
use the briefer terms RS-integrable and RS-integral. When it exists,
the RS-integral is denoted by
_

f(t)dg(t) or
_

f dg. Choosing F = R
and g(t) = t gives the usual Riemann integral.
Given that f is RS-integrable with respect to g, it is obvious that
the following condition holds:
For each > 0 there exists a > 0 such that
S (Q, b) S (P, a) (13)
whenever P and Q are -partitions of [, ] and a, b are
corresponding interstitial vectors.
We shall refer to the latter condition as the Cauchy condition for the
existence of the RS integral. To establish its suciency, let P
n
be a
partition of [, ] with |P
n
| 1/n and c
n
be an interstitial vector with
respect to P
n
for each positive integer n. Then the Cauchy condition
together with the completeness of G implies that S
n
= S (P
n
, c
n
) con-
verges to a limit L G as n . Let > 0 and choose > 0 so
that (13) holds. If P is a partition with |P| and c is an interstitial
vector then
S (P, c) L S (P, c) S
n
+S
n
L
and letting n shows that S (P, c) L as required.
The following proposition states some obvious properties of the Riemann-
Stieltjes integral. Functions exist for which the converse of (b) is false.
Proposition 8 Let E, F, and G be Banach spaces, all real or all com-
plex, and EF G be a bilinear operation satisfying (12). Let and
be real numbers with < .
(a) Let g : [, ] F. Then the set RS (g) = RS (, , g) of all RS-
integrable functions f : [, ] E with respect to g is closed under
linear combinations and the RS-integral f
_

fdg is a linear
operation of RS (g) G.
8
(b) If < < and f RS (, , g) then f belongs to both RS (, , g)
and RS (, , g), and
_

fdg =
_

fdg +
_

fdg.
(c) Let f : [, ] E. Then the set G of all functions g : [, ] F
such that f RS (g) is closed under linear combinations and the
RS-integral g
_

fdg is a linear operation of G G.

(d) If f : [, ] E belongs to RS (g) for some g : [, ] F then
_
_
_
_
_
_

f dg
_
_
_
_
_
sup
t
f(t) V
g
.
Let f : [, ] E and g : [, ] F. When E = F, we can form
RS-sums S(g, f, P, c) and the RS-integral
_

g df as before. Otherwise,
if E = F, we dene
S (g, f, P, c)
n

k=1
[f(t
k
) f(t
k1
)]g(c
k
)
and take
_

g df to the the limit of these sums when it exists. Accord-

ingly, there are two possibilities to consider: f RS (g) and g RS (f).
The following result deals with this situation.
Theorem 9 Let f : [, ] E and g : [, ] F. Then f RS (g) if
and only if g RS (f). In either case,
_

f dg +
_

g df = f () g () f () g () .
9
Proof. For any partition P and interstitial vector c we have
S (f, g, P, c) =
n

k=1
f(c
k
) [g(t
k
) g(t
k1
)]
= f (c
n
) g () f (c
1
) g ()
n1

k=1
[f (c
k+1
) f(c
k
)] g(t
k
)
= f () g () f () g ()

_
[f (c
1
) f ()] g ()
+
n1

k=1
[f (c
k+1
) f(c
k
)] g(t
k
)
+ [f () f (c
n
)] g ()
_
= f () g () f () g () S (g, f, Q, d)
where Q = {, c
1
, . . . , c
n
, } and d = (, t
1
, . . . , t
n1
, ). The proof is
completed by observing that |Q| 2 |P| then employing a routine -
argument.
Theorem 10 Let f : [, ] E be continuous and g [, ] F have
bounded variation. Then f is RS-integrable with respect to g.
In particular, every continuous function is Riemann integrable. Putting
E = k and f = 1 in Theorem 9 gives
_

dg(t) = g () g () . (14)
for any function g of bounded variation.
Proof. Consider a partition P of [, ] and a renement
Q : = t
0
t t
n
=
of P. Then P can be written
P : = t
i
0
t
i
1
t
i
m
=
10
with 0 = i
0
i
1
i
m
= n. Let c
P
be an interstitial vector with
respect to P and extend it to an interstitial vector c with respect to Q
to obtain
c = (c
1
, . . . , c
n
) and c
P
= (c
j
1
, . . . , c
j
m
)
for some 1 j
1
j
m
n. Let
c = (c
j
1
, . . . , c
j
1
, c
j
2
, . . . , c
j
2
, . . . , c
j
m
)
where the term c
j
k
occurs i
k
i
k1
times. Then
S (P, c
P
) =
m

k=1
f (c
j
k
) [g (t
i
k
) g
_
t
i
k1
_
]
=
n

k=1
f ( c
k
) [g(t
k
) g(t
k1
)]
so that
S (Q, c) S (P, c
P
) =
n

k=1
[f(c
k
) f ( c
k
)][g(t
k
) g(t
k1
)]. (15)
Now let > 0. Since f is uniformly continuous, there exists a > 0
such that f(t) f (s) whenever t, s and |t s| . If
the partition P is chosen so that |P| then, using (15),
S (Q, c) S (P, c
P
)

k=1
f(c
k
) f ( c
k
) g(t
k
) g(t
k1
) V
g
. (16)
Finally, if P and P

are two partitions of [, ] with |P| , |P

| < then
choosing Q so that P P

Q, one obtains from (16)

S (P, c
P
) S (P

, c
P
)
S (Q, c) S (P, c
P
) +S (Q, c) S (P

, c
P
)
2V
g
as required.
Theorem 11 Every Riemann integrable function is bounded.
11
Proof. Consider a function f : [, ] E and a partition
P : = t
0
< t
1
< < t
n
= .
Let c be an interstetial vector and c

be another one which diers from

c only at one index i. Then
S(P, c

) S(P, c) =
_
_
_
_
_
n

k=1
(t
k
t
k1
) [f (c

k
) f(c
k
)]
_
_
_
_
_
= (t
i
t
i1
) f (c

i
) f (c
i
) .
When f is unbounded, we can always choose i and c

i
so that the last
expression exceeds 1.
For Riemann integrable f : [, ] E we dene
_

f(t)dt
_

f(t)dt =
_

f(t)d( + t).
Theorem 12 Let f : [, ] E be Riemann integrable. Then
F(t) =
_
t

f(s)ds
denes a continuous function F : [, ] E. Furthermore, if f is
continuous at t then F is dierentiable at t with F

(t) = f(t).
In particular, if f is continuously dierentiable then
_

(t)dt = f() f().

Proof. From statements (b) and (d) of Proposition 8, we have
F(s) F(t) =
_
_
_
_
_
s
t
f(s)ds
_
_
_
_
f

|s t|
which shows that F is continuous. Suppose now that f is continuous
at t. Let > 0 and choose > 0 so that
f(s) f(t) for |s t| .
12
Then for |s t| we have
F(s) F(t) (s t)f(t) =
_
_
_
_
_
s
t
[f(s) f(t)]ds
_
_
_
_
|s t|
This shows that F

(t) = f(t) as required.

Theorem 13 Suppose f : [, ] E is continuously dierentiable.
Then f

is Riemann integrable and f has bounded variation with

V (f) =
_

(t) dt.
Proof. If = t
0
t
1
t
n
= is a partition of [, ] then
n

k=1
f(t
k
) f(t
k1
) =
n

k=1
_
_
_
_
_
_
t
k
t
k1
f

(t)dt
_
_
_
_
_

k=1
_
t
k
t
k1
f

(t) dt
=
_

(t) dt
as required.
Theorem 14 Let f : [, ] k be continuous and g : [, ] E be
continuously dierentiable. Then f RS (g) with
_

f(t)dg(t) =
_

f(t)g

(t)dt. (17)
Proof. The function g has bounded variation by Example 2 so that
f RS (g) by Theorem 10. On the other hand, f(t)g

(t) is continuous
and therefore Riemann integrable. All that remains is to show that the
two integrals are equal. Let > 0 and choose > 0 so that
f(s) f(t) for |s t| .
13
Then for any -partition P and interstetial vector c we have
_
_
_
_
_
S(f, g, P, c)
_

f(t)g

(t)dt
_
_
_
_
_
=
_
_
_
_
_
n

k=1
f(c
k
)[g(t
k
) g(t
k1
)]
_

f(t)g

(t)dt
_
_
_
_
_
=
_
_
_
_
_
n

k=1
f(c
k
)
_
t
k
t
k1
g

(t)dt
_

f(t)g

(t)dt
_
_
_
_
_
=
_
_
_
_
_
n

k=1
_
t
k
t
k1
[f(c
k
) f(t)]g

(t)dt
_
_
_
_
_

k=1
_
t
k
t
k1
f(c
k
) f(t) g

(t) dt V
g
as required.
14