Just wondering - what are the essential features of Riemann-Stieltjes and Lebesgue-Stieltjes integration, and how do they differ from the usual Riemann/Lebesgue integration? In what sense are they more 'general' than the Riemann/Lebesgue integral?(adsbygoogle = window.adsbygoogle || []).push({});

The exposition of most texts in probability theory / real analysis uses Lebesgue integration - so how 'useful', or 'relevant', are the Riemann-Stieltjes and Lebesgue-Stieltjes to day-to-day integration? (as opposed to being primarily mathematical curiosities, techniques to be reserved for extremely degenerate cases)

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# Riemann-Stieltjes, Lebesgue-Stieltjes integration

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