James Davidson

in Stochastic Limit Theory

Published in print October 1994 | ISBN: 9780198774037
Published online November 2003 | e-ISBN: 9780191596117 | DOI:

Series: Advanced Texts in Econometrics


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The concept of an abstract integral is developed from first principles. Riemann‐Stieltjes and Lebesgue‐Stieltjes integrals are defined. The monotone convergence theorem, fundamental properties of integrals, and related inequalities are covered. Other topics include product measure and multiple integrals, Fubini's theorem, signed measures, and the Radon‐Nikodym theorem.

Keywords: Fubini's theorem; integral; Lebesgue‐Stieltjes integral; monotone convergence theorem; product measure; Radon‐Nikodym theorem; Riemann‐Stieltjes integral

Chapter.  10292 words. 

Subjects: Econometrics and Mathematical Economics

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