Generalized stieltjes integrals

Riemann-Stieltjes integrals

This short note gives an introduction to the Riemann-Stieltjes integral on R and Rn. Some natural and important applications in probability theory are discussed. The reason for discussing the Riemann-Stieltjes integral instead of the more general Lebesgue and LebesgueStieltjes integrals are that most applications in elementary probability theory are satisfactorily covered by the Riemann-Stieltj...

Majorisation inequalities for Stieltjes integrals

Inequalities of the majorisation type for convex functions and Stieltjes integrals are given. Applications for some particular convex functions of interest are also pointed out.

Oregon State College Sequences of Stieltjes Integrals

there is no projection on (m) to (C), it may be shown that at least either there is no projection on (w) to F, or else there is no projection on (m) to the complementary subspace of F in (C). (An illustration of the case where there is no projection on (m) to the complementary subspace in (C) is provided by the case of a finite dimensional YC(Q.) In a paper in preparation on the extension of li...

Cauchy-stieltjes and Riemann-stielt Jes Integrals

A Generalized Itô’s Formula in Two-Dimensions and Stochastic Lebesgue-Stieltjes Integrals

A generalized Itô formula for time dependent functions of two-dimensional continuous semi-martingales is proved. The formula uses the local time of each coordinate process of the semi-martingale, left space and time first derivatives and second derivative ∇1 ∇ − 2 f only which are assumed to be of locally bounded variation in certain variables, and stochastic Lebesgue-Stieltjes integrals of two...