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Problem 17 of Chapter 6 of Rudin’s *Principles of Mathematical Analysis* asks us to prove the following:

Suppose $\alpha$ increases monotonically on $[a,b]$, $g$ is

continuous, and $g(x)=G'(x)$ for $a \leq x \leq b$. Prove that,$$\int_a^b\alpha(x)g(x)\,dx=G(b)\alpha(b)-G(a)\alpha(a)-\int_a^bG\,d\alpha.$$

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It seems to me that the continuity of $g$ is not necessary for the result above. It is enough to assume that $g$ is Riemann integrable. Am I right in thinking this?

I have thought as follows:

$\int_a^bG\,d\alpha$ exists because $G$ is differentiable and hence continuous.

$\alpha(x)$ is integrable with respect to $x$ since it is monotonic. If $g(x)$ is also integrable with respect to $x$ then $\int_a^b\alpha(x)g(x)\,dx$ also exists.

To prove the given formula, I start from the hint given by Rudin

$$\sum_{i=1}^n\alpha(x_i)g(t_i)\Delta x_i=G(b)\alpha(b)-G(a)\alpha(a)-\sum_{i=1}^nG(x_{i-1})\Delta \alpha_i$$

where $g(t_i)\Delta x_i=\Delta G_i$ by the ~~intermediate~~ mean value theorem.

Now the sum on the right-hand side converges to $\int_a^bG\,d\alpha$. The sum on the left-hand side would have converged to $\int_a^b\alpha(x)g(x)\,dx$ if it had been

$$\sum_{i=1}^n \alpha(x_i)g(x_i)\Delta x$$

The absolute difference between this and what we have is bounded above by

$$\max(|\alpha(a)|,|\alpha(b)|)\sum_{i=1}^n |g(x_i)-g(t_i)|\Delta x$$

and this can be made arbitrarily small because $g(x)$ is integrable with respect to $x$.

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Compare with the following theorem,

**Theorem**: Suppose $f$ and $g$ are bounded functions with no common discontinuities on the interval $[a,b]$, and the Riemann-Stieltjes integral of $f$ with respect to $g$ exists. Then the Riemann-Stieltjes integral of $g$ with respect to $f$ exists, and

$$\int_{a}^{b} g(x)df(x) = f(b)g(b)-f(a)g(a)-\int_{a}^{b} f(x)dg(x)\,. $$

You are right that continuity is a stronger hypothesis than needed. I haven’t checked your proof in detail due to lack of time, but assuming $g$ to be continuous only simplifies the problem. See for example theorem $12.14$ in This book.

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