In mathematics, the Henstock–Kurzweil integral or generalized Riemann integral or gauge integral – also known as the Denjoy integral, Luzin integral or Perron integral, but not to be confused with the more general wide Denjoy integral – is one of a number of definitions of the integral of a function. It is a generalization of the Riemann integral, and in some situations is more general than the Lebesgue integral. In particular, a function is Lebesgue integrableif and only if the function and its absolute value are Henstock–Kurzweil integrable. This integral was first defined by Arnaud Denjoy. Denjoy was interested in a definition that would allow one to integrate functions like This function has a singularity at 0, and is not Lebesgue integrable. However, it seems natural to calculate its integral except over the interval and then let ε, δ → 0. Trying to create a general theory, Denjoy used transfinite induction over the possible types of singularities, which made the definition quite complicated. Other definitions were given by Nikolai Luzin, and by Oskar Perron, who was interested in continuous major and minor functions. It took a while to understand that the Perron and Denjoy integrals are actually identical. Later, in 1957, the Czech mathematician Jaroslav Kurzweil discovered a new definition of this integral elegantly similar in nature to Riemann's original definition which he named the gauge integral; the theory was developed by Ralph Henstock. Due to these two important contributions, it is now commonly known as the Henstock–Kurzweil integral. The simplicity of Kurzweil's definition made some educators advocate that this integral should replace the Riemann integral in introductory calculus courses.
Definition
Given a tagged partitionP of , that is, together with we define the Riemann sum for a function to be where Given a positive function which we call a gauge, we say a tagged partition P is -fine if We now define a number I to be the Henstock–Kurzweil integral of f if for every ε > 0 there exists a gauge such that whenever P is -fine, we have If such an I exists, we say that f is Henstock–Kurzweil integrable on . Cousin's theorem states that for every gauge, such a -fine partition P does exist, so this condition cannot be satisfied vacuously. The Riemann integral can be regarded as the special case where we only allow constant gauges.
Properties
Let be any function. If, then f is Henstock–Kurzweil integrable on if and only if it is Henstock–Kurzweil integrable on both and , and then The Henstock–Kurzweil integral is linear, i.e., if f and g are integrable, and α, β are reals, then αf + βg is integrable and If f is Riemann or Lebesgue integrable, then it is also Henstock–Kurzweil integrable, and the values of the integrals are the same. The important Hake's theorem states that whenever either side of the equation exists, and symmetrically for the lower integration bound. This means that if f is "improperly Henstock–Kurzweil integrable", then it is properly Henstock–Kurzweil integrable; in particular, improper Riemann or Lebesgue integrals such as are also Henstock–Kurzweil integrals. This shows that there is no sense in studying an "improper Henstock–Kurzweil integral" with finite bounds. However, it makes sense to consider improper Henstock–Kurzweil integrals with infinite bounds such as For many types of functions the Henstock–Kurzweil integral is no more general than Lebesgue integral. For example, if f is bounded with compact support, the following are equivalent:
In general, every Henstock–Kurzweil integrable function is measurable, and f is Lebesgue integrable if and only if both f and |f| are Henstock–Kurzweil integrable. This means that the Henstock–Kurzweil integral can be thought of as a "non-absolutely convergent version of Lebesgue integral". It also implies that the Henstock–Kurzweil integral satisfies appropriate versions of the monotone convergence theorem and dominated convergence theorem ≤ fn ≤ h. If F is differentiable everywhere, the derivative F′ is Henstock–Kurzweil integrable, and its indefinite Henstock–Kurzweil integral is F. In other words, we obtain a simpler and more satisfactory version of the second fundamental theorem of calculus: each differentiable function is, up to a constant, the integral of its derivative: Conversely, the Lebesgue differentiation theorem continues to hold for the Henstock–Kurzweil integral: if f is Henstock–Kurzweil integrable on , and then F′ = falmost everywhere in . The space of all Henstock–Kurzweil-integrable functions is often endowed with the Alexiewicz norm, with respect to which it is barrelled but incomplete.
on a line can also be presented in a similar fashion. If we take the definition of the Henstock–Kurzweil integral from above, and we drop the condition then we get a definition of the McShane integral, which is equivalent to the Lebesgue integral. Note that the condition does still apply, and we technically also require for to be defined.
