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Real Analysis II · Integration

Two-jump integrator

Problem

Fix 0<c<d<1 and let α(x)=0 for x<c, α(x)=A for c≤x<d, and α(x)=A+B for d≤x≤1. Prove that ∫_0^1 f dα=A f(c)+B f(d) for every continuous f.

Hint

Insert c and d into the partition; refinement does not change the candidate limit.

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