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Lebesgue-Stieltjes Integral

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Definition
MeasureTheoryStochasticDiffs

Let f:R+Rf:\mathbb{R}^{+}\to \mathbb{R} be Borel-measurable, we define the Lebesgue-Stieltjes integral R+fdg\int\limits _{\mathbb{R}^{+}}f \, dg by R+fdg=R+fdμg\int\limits _{\mathbb{R}^{+}}f \, dg=\int\limits _{\mathbb{R}^{+}}f \, d\mu_{g} with the right side being the Lebesgue Integral with the Lebesgue-Stieltjes Measure, μg\mu_{g}.

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