Appendix E、Riemann-Stieltjes Integrals 数理金融学入门 教学课件.pdfVIP

APPENDIX E Riemann-Stieltjes Integrals Recall : Consider the Riemann integral b n−1 f (x) dx = f (t )(x − x ) t ∈ [x , x ]. i i+1 i i i i+1 a i=0 Consider the expectation introduced in Chapter 1, E [X] = Ω X dP = ∞ x dF (x) = ∞ xp(x) dx, (E.1) −∞ −∞ where p is the probability density function of X , and F is the cumulative distribution function of X . The second integral in (E.1) is the Lebesgue integral, the fourth in (E.1) is the Riemann integral. What is the third integral in (E.1)? E.1. Definition Basic Assumptions: The functions f, g, α, β are bounded on [a, b]. Definition E.1. Let P = {x , x , · · · , x } be a partition of [a, b] and t ∈ [x , x ] 1 2 n k k−1 k for k = 1, 2, · · · , n. (1) A sum of the form n S (P, f, α) = f (t )(α(x ) − α(x )) k k k−1 k=1 is called a Riemann-Stieltjes sum of f with respect to α. 277 278 E. RIEMANN-STIELTJES INTEGRALS (2) A function f is Riemann-Stieltjes Integrable with respect to α on [a, b], and we write “f ∈ R(α) on [a, b]”, if there exists A ∈ R such that S (P, f, α) −→ A as max |xk − xk−1 | −→ 0.