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The Henstock-Kurzweil
integral

Bachelorthesis Mathematics
June 2014
Student: E. van Dijk

First supervisor: Dr. A.E. Sterk

Second supervisor: Prof. dr. A. van der Schaft

 Abstract

In this thesis we examine the Henstock-Kurzweil integral. First we look at the

definition, which only differs slightly from the definition of the common Riemann
integral; instead of using a constant δ, we use a strictly positive function γ. Af-
ter proving some properties of the Henstock-Kurzweil integral, we look at a couple
examples. At last we will see that the Henstock-Kurzweil integral has some nice ben-
efits over the Riemann integral: we note that each derivative is Henstock-Kurzweil
integrable when we look at the Fundamental theorem and we can prove some nice
convergence theorems regarding Henstock-Kurzweil integrals.

2
Contents
1 Introduction 3

2 The Riemann and the Henstock-Kurzweil integral 4

2.1 The Riemann integral . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
2.2 The Henstock-Kurzweil integral . . . . . . . . . . . . . . . . . . . . . . . . 6

3 Properties of the Henstock-Kurzweil integral 8

4 Examples 15
4.1 Linear functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
4.2 Dirichlet’s function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
4.3 Modified Dirichlet function . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
4.4 Thomae’s function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21

5 The Fundamental Theorem of Calculus 23

6 Convergence theorems 25

7 Conclusion and discussion 35

8 Acknowledgements 36

1 Introduction
Historically integration was defined to be the inverse process of differentiating. So a func-
tion F was the integral of a function f if F 0 = f . Around 1850 a new approach occurred
in the work of Cauchy and soon after in the work of Riemann. Their idea was to not look
at integrals as the inverse of derivatives, but to come up with a definition of the integral
independent of the derivative. They used the notion of the ’area under the curve’ as a
starting point for building a definition of the integral. Nowadays this is known as the Rie-
mann integral. This integral has an intuitive approach and is usually discussed in calculus
courses.
Suppose we have a function f on the interval [a, b] and we want to find its Riemann inte-
gral. The idea is to divide the interval into small subintervals. In each subinterval [xi−1 , xi ]
we pick some point ti . For simplicity the point ti is often chosen to be one of the end-
points of the interval. The value f (ti )(xi − xi−1 ) is then used to approximate the area

3
under the graph of f on [xi−1 , xi ]. The area of each rectangle that is obtained this way is
i )(xi − xi−1 ). The total area under the curve on the interval [a, b] is then approximated
f (tP
by ni=1 f (ti )(xi −xi−1 ). It is easily seen that the approximation improves as the rectangles
get thinner, so if the length of the subintervals [xi−1 , xi ] get smaller. We take the limit
(if it exists) of this approximating sums as the length of those subintervals tends to zero.
Rb
This limit is Riemann’s definition of the integral a f .
Riemann’s definition of the integral turned out to have some limitations. For example, not
every derivative can be integrated when considering Riemann’s definition. To correct these
deficiencies, Lebesgue came up with a new definition of integration. Lebesgue’s method is
a complex one and a considerably amount of measure theory is required even to define the
integral. Around 1965 Kurzweil came up with a new definition for the integral which was
further developed by Henstock. In their definition the intuitive approach of the Riemann
integral is preserved. They just made a small adjustment to the standard ,δ-definition
of the Riemann integral; instead of a constant δ, Henstock and Kurzweil used a strictly
positive function γ. By making this small adjustment, it turned out that their integral
also correct some of the limitations of the Riemann integral.
The integral of Kurzweil and Henstock is known by various names; the Henstock-Kurzweil
integral, the generalized Riemann integral, and just the Henstock or just the Kurzweil in-
tegral are examples. Because the strictly positive function γ used in the definition is called
a gauge, it is also known as the gauge integral.
In this thesis we will look at the integral of Kurzweil and Henstock. The integral will go
by the name the Henstock-Kurzweil integral. First we are going to define the Henstock-
Kurzweil integral and compare it with the definition of the Riemann integral. In the next
section, we will examine some properties and we will prove all those properties. Then
we are going to look at some examples of Henstock-Kurzweil integrable function. At last
we will investigate the fundamental theorem and some convergence theorems regarding
Henstock-Kurzweil integration.

2 The Riemann and the Henstock-Kurzweil integral

In this first section we begin with giving the definition of the common Riemann integral.
Then we expand this definition to the definition of the Henstock-Kurzweil integral in little
steps. To get a better understanding of what the various definitions actually mean, we will
also give some examples.

2.1 The Riemann integral

For Riemann and Henstock-Kurzweil integration we first need to divide the interval [a, b]
in subintervals. We call the collection of these subintervals a partition [2, 4].

4
Definition 2.1. A partition P := {[xi−1 , xi ] : 1 ≤ i ≤ n} of an interval [a, b], is a finite
collection of closed intervals whose union is [a, b] and where the subintervals [xi−1 , xi ] can
only have the endpoints in common.

If we have for example the interval [0, 3], we could make a partition by dividing it into
three subintervals of equal length: P = {[0, 1], [1, 2], [2, 3]}. We see that this is an finite
collection of closed intervals. It is also clear that the union of these three subintervals is
[0, 3]. Therefore this is indeed a partition. An other partition could be P = {[0, 12 ], [ 12 , 3]}.
This is a partition because it is again a finite collection of closed subintervals, whose union
is [0, 3].
The next step is to take a point ti in each subinterval. These points ti will be the tags.
These tags together with our partition will form a collection of ordered pairs which will be
called a tagged partition [2, 4].
Definition 2.2. A tagged partition P := {(ti , [xi−1 , xi ]) : 1 ≤ i ≤ n} of an interval
[a, b], is a finite set of ordered pairs where ti ∈ [xi−1 , xi ] and the intervals [xi−1 , xi ] form a
partition of [a, b]. The numbers ti are called the corresponding tags.

For simplicity the left or right endpoints of the subintervals [xi−1 , xi ] are often chosen
as tags. We take our partition P = {[0, 1], [1, 2], [2, 3]} from the previous example and
choose the tags ti to be the left endpoints. The tagged partition we get by doing this
is: P = {(0, [0, 1]), (1, [1, 2]), (2, [2, 3])}. We already knew that the subintervals form a
partition of [0, 3] and it is clear that 0 ∈ [0, 1], 1 ∈ [1, 2] and 2 ∈ [2, 3], so P is indeed a
tagged partition of [0, 3]. We could also choose the points in the middle of the subintervals
to be the tags. Then we get the tagged partition P = {( 12 , [0, 1]), (1 12 , [1, 2]), (2 21 , [2, 3])}.
Here it is also obvious that each tag lies in the corresponding subinterval, so that this P
is again a tagged partition of [0, 3].
The next step that will lead us to the definition of the Riemann integral is to define the
Riemann sum [2, 4].
Definition 2.3. If P := {(ti , [xi−1 , xi ]) : 1 ≤ i ≤ n} is a tagged partition of [a, b] and
f : [a, b] → P
R is a function, then the Riemann sum S(f, P ) of f corresponding to P is
S(f, P ) := ni=1 f (ti )(xi − xi−1 ).

For example, let’s take the function f (x) = x on the interval [0, 3] together with our
tagged partition P = {(0, [0, 1]), (1, [1, 2]), (2, [2, 3])} from the previous example. The Rie-
mann sum will now be given by: S(f, P ) = f (0)(1 − 0) + f (1)(2 − 1) + f (2)(3 − 2) =
0 · 1 + 1 · 1 + 2 · 1 = 3.
The last step is to take the limit of this Riemann sum when the lenght of the intervals tend
to zero; so when xi − xi−1 → 0. In the following definition this is given in ,δ-form [1].
Rb
Definition 2.4. For a function f : [a, b] → R, the number A = a f is called the Riemann
integral of f if for all  > 0, there exists a δ > 0 such that if P := {(ti , [xi−1 , xi ]) : 1 ≤
i ≤ n} is any tagged partition of [a, b] satisfying 0 < xi − xi−1 ≤ δ for all i = 1, 2, · · · , n,
then |S(f, P ) − A| ≤ .

5
2.2 The Henstock-Kurzweil integral
We will now define the Henstock-Kurzweil integral. Instead of choosing δ to be a constant,
we allow δ to be a function which we will call γ. This small change has great benefits as
we will see later on. The only restriction to the function γ is that is has to be strictly
positive. Such a function will be called a gauge [2].
Definition 2.5. A function γ on an interval [a, b] is called a gauge if γ(x) > 0, for all
x ∈ [a, b].

We could come up with many examples of gauges. We could simply take γ(x) = c, where
c ∈ R>0 . We could also take the function γ(x) = sin x. It is a gauge on the interval [1, 3],
because it is strictly positive on that interval.
In order to define the Henstock-Kurzweil integral we now want to use a gauge γ instead of
a constant δ to compare the length of each subinterval [xi−1 , xi ] [2].
Definition 2.6. If γ is a gauge on the interval [a, b] and P := {(ti , [xi−1 , xi ]) : 1 ≤ i ≤ n}
is a tagged partition of [a, b], then P is γ-fine if xi − xi−1 ≤ γ(ti ) for all i = 1, 2, · · · , n.

Suppose we have the function γ(x) = x + 1 on [0, 3]. This is a gauge on [0, 3] because
it is strictly greater than zero on that interval. If we look at our tagged partition P :=
{(0, [0, 1]), (1, [1, 2]), (2, [2, 3])} of the interval [0, 3] from our previous examples, then we
see that P is γ-fine, because 1 − 0 = 1 ≤ 1 = 0 + 1 = γ(0), 2 − 1 = 1 ≤ 2 = 1 + 1 = γ(1)
and 3 − 2 = 1 ≤ 3 = 2 + 1 = γ(2). So a tagged partition is γ-fine if the length of each
subinterval is less or equal than the value of γ at the corresponding tag.
It turns out that for every gauge γ on an interval [a, b] there exists a γ-fine, tagged partition.
This is the content of Cousin’s lemma [8].
Lemma 2.1 - Cousin’s lemma. If γ is a gauge on the interval [a, b], then there exists a
tagged partition of [a, b] that is γ-fine.

Before we can prove Cousin’s lemma, we need another little lemma.

Lemma 2.2. Suppose γ is a gauge and I1 and I2 are intervals which have at most one
point in common. If I1 and I2 are γ-fine then the union I := I1 ∪ I2 is also γ-fine.

Proof. If I1 and I2 are γ-fine, then there exist tagged partitions P1 := {(ti , [xi−1 , xi ] : 1 ≤
i ≤ n} and P2 := {tj , [xj−1 , xj ] : 1 ≤ j ≤ m} of I1 respectively I2 which are γ-fine. So
0 ≤ xi − xi−1 ≤ γ(ti ) and 0 ≤ xj − xj−1 ≤ γ(tj ) for all i = 1, 2, ..., n and j = 1, 2, ..., m.
If we now take the union of our tagged partitions P := P1 ∪ P2 , then the length of each
subinterval is still smaller than the value of γ in the corresponding tag, so P is γ-fine. It
is clear that P := P1 ∪ P2 is a tagged partition of I := I1 ∪ I2 . So for I := I1 ∪ I2 there
exists a tagged partition that is γ-fine and thus I is γ-fine.

We are now going to use this little lemma to prove Cousin’s lemma.

6
Proof. Lemma 2.1 - Cousin’s Lemma. Let S be the set of points x ∈ (a, b] such that there
exists a γ-fine tagged partition of [a, x]. We are going to show that there exists a γ-fine
tagged partition of [a, b] by showing that the supremum of set S exists and that it is equal
to b.
Let x be a real number that satisfies a < x < a + γ(a) and x < b. Now consider {[a, x]}
to be a partition of [a, x] which consists of one subinterval. If we choose a to be a tag,
then we get a tagged partition of [a, x]: {(a, [a, x])}. Because x − a < a + γ(a) − a = γ(a),
we know that the tagged partition {(a, [a, x])} is γ-fine. Thus we know that x ∈ S and
therefore S is nonempty. The axioma of completeness states that every nonempty set of
real numbers that is bounded above has a supremum. Since S is bounded above by b, we
know that S has a supremum. Let β be the supremum of S.
Since β is the supremum of S, we have that β ≤ b and so the gauge γ is defined at β.
Since γ(β) > 0 and since β is the supremum of S, there exists a point y ∈ S such that
β − γ(β) < y < β. Let P1 be a γ-fine tagged partition of [a, y]; such a partition existst
because y ∈ S. Now we consider {[y, β]} to be a partition of [y, β] which again consists of
one subinterval. We choose β to be a tag and so we get the tagged partition {(β, [y, β])}.
Because β − y < β − (β − γ(β)) = γ(β) we know that {(β, [y, β])} is γ-fine. Now we take
the union: P˜1 = P1 ∪ {(β, [y, β])} and by lemma 2.1 we know that this union P˜1 is a tagged
partition of [a, β] that is γ-fine. Thus we can conclude that β ∈ S.
Now we need to demonstrate that β = b. To do this, we assume by way of contradiction
that β < b. Since β < b there exists a point z ∈ (β, b) such that z < β + γ(β). Let P2
be a γ-fine tagged partition of [a, β]; such a partition exists because β ∈ S. We consider
{[β, z]} to be a partition of [β, z] and by taking β as a tag we get the tagged partition
{(β, [β, z])}. Because z − β < β + γ(β) − β = γ(β) we know that {(β, [β, z])} is a γ-fine
tagged partition of [β, z]. Now we take the union P˜2 = P2 ∪ {(β, [β, z])} and by applying
lemma 2.1 again, we know that this P˜2 is a γ-fine taggged partition of [a, z]. Therefore we
conclude that z ∈ S. But this is a contradiction, because β is the supremum of S. So our
assumption can not be true and thus β = b.
Finally, since b = β is an element of S, we can conclude that there exists a γ-fine partition
of [a, b].

With the definition of a γ-fine partition, we can define the Henstock-Kurzweil integral
[2]. As said before, its definition differs only slightly from the definition of the Riemann
integral.
Rb
Definition 2.7. For a function f : [a, b] → R the number B = a f is called the
Henstock-Kurzweil integral of f if for all  > 0 there exists a gauge γ such that
if P := {(ti , [xi−1 , xi ]) : 1 ≤ i ≤ n} is a tagged partition of [a, b] that is γ-fine, then
|S(f, P ) − B| ≤ .

Instead of setting the length of each subinterval [xi−1 , xi ] smaller than a constant δ as
in the definition of the Riemann integral, we use a gauge γ to compare the lengths with.
This little difference will have many benefits. In section 4 we will see some examples of
Henstock-Kurzweil integrable functions.

7
3 Properties of the Henstock-Kurzweil integral
In this section we will look at some properties of the Henstock-Kurzweil integral. We will
begin with comparing it with the Riemann integral. Next thing we will see is that the
Henstock-Kurzweil integral is unique. Then some linearity properties will follow. After
that we are going to look at the Cauchy criterion for Henstock-Kurzweil integrability and
we are going to use this criterion to prove a theorem considering the integrability on subin-
tervals of [a, b]. At last we are looking at the Henstock-Kurzweil integrals of functions that
are zero, of two functions that are equal to each other and finally of a function that is less
or equal than another Henstock-Kurzweil integrable function.
We saw in the previous section that the definitions of the Riemann integral and the
Henstock-Kurzweil integral are very similar. Because the definitions are so similar we
could wonder if a Riemann integrable function is also Henstock-Kurzweil integrable and
the other way around.
It turns out that indeed every Riemann integrable function is Henstock-Kurzweil inte-
grable. The idea behind proving this statement is to choose our gauge γ to be the constant
δ from the definition of the Riemann integral. This statement is formally presented in the
next theorem.
Rb
Theorem 3.1. If f : [a, b] → R is Riemann integrable on [a, b] with a f = A, then f is
Rb
Henstock-Kurzweil integrable on [a, b] with a f = A.

Proof. Let  > 0. Since f is Riemann integrable, there exists a constant δ > 0 such that
if P := {(ti , [xi−1 , xi ]) : 1 ≤ i ≤ n} is a tagged partition of [a, b] such that xi − xi−1 ≤ δ
for all i = 1, 2, · · · , n then |S(f, P ) − A| ≤ . Now we choose our gauge to be γ(x) = δ .
Then we know that if P is a tagged partition of [a, b] that is γ-fine then

|S(f, P ) − A| ≤ .

Because our  was arbitrary, we know this holds

R b for all  > 0 and thus we can conclude
that f is Henstock-Kurzweil integrable with a f = A.

The converse of this statement is false. Not every Henstock-Kurzweil integrable function
is Riemann integrable. An example of a function that is not Riemann integrable, but
is Henstock-Kurzweil integrable is Dirichlet’s function. We will discuss this function in
section 4.2.
The following theorem states that if a function f is Henstock-Kurzweil integrable, then its
integral is unique [6].

Theorem 3.2 - Uniqueness of Henstock-Kurzweil integral. If f : [a, b] → R is

Henstock-Kurzweil integrable on the interval [a, b], then the Henstock-Kurzweil integral of
f on [a, b] is unique.

8
Proof. We assume that there are two numbers B1 , B2 ∈ R that are both the Henstock-
Kurzweil integral of f on [a, b]. Let  > 0. Since B1 is Henstock-Kurzweil integrable, there
exists a gauge γ1 on [a, b] such that if P1 is a γ1 -fine partition of [a, b] then

|S(f, P1 ) − B1 | ≤ .
2
Similarly, there exists a gauge γ2 on [a, b] such that if P2 is a γ2 -fine partition of [a, b] then

|(S(f, P2 ) − B2 | ≤ .
2
We now define a new gauge: γ := min{γ1 , γ2 }. Suppose now that P is a tagged partition
of [a, b] that is γ-fine. Because of the construction of γ, we know that this P is also γ1 -
and γ2 -fine. Thus we have:
|B1 − B2 | = |B1 − S(f, P ) + S(f, P ) − B2 |
≤ |S(f, P ) − B1 | + |S(f, P ) − B2 |
 
≤ + = .
2 2
Because our  was arbitrary, we conclude that B1 = B2 and thus the Henstock-Kurzweil
integral of f on [a, b] is unique.

Now we will look at some linearity properties of the Henstock-Kurzweil integral.

Theorem 3.3 - Linearity properties. Let f and g be Henstock-Kurzweil integrable on
[a, b], then
Rb Rb
1. kf is Henstock-Kurzweil integrable on [a, b] for each k ∈ R with a kf = k a f ;
Rb Rb Rb
2. f + g is Henstock-Kurzweil integrable on [a, b] with a (f + g) = a f + a g.

Proof. 1. Let  > 0. By assumption f is Henstock-Kurzweil integrable. So for |k| there
exists a gauge γ such that if P is a tagged partition of [a, b] that is γ-fine, then
 Z b 

S(f, P ) −
 
f  ≤ .

a |k|
Now we have that
Z b  X Z b 
  n


S(kf, P ) − k f  =  kf (ti )(xi − xi−1 ) − k f


a 
i=1 a 
 Z b 
 
= |k| S(f, P ) −
 f 
a

≤ |k| = .
|k|
Because our  was arbitrary, this Rholds for Rall  > 0 and therefore kf is Henstock-
b b
Kurzweil integrable on [a, b] with a kf = k a f .

9
 2. Let  > 0. By assumption f and g are Henstock-Kurzweil integrable. So for 2 there
exist gauges γf and γg such that whenever Pf and Pg are tagged partitions of [a, b]
that are γf -fine respectively γg -fine, then
 Z b 
  
S(f, Pf ) − f ≤
  2
a

and  Z b 
  
S(g, Pg ) − g ≤ .
  2
a

Now we define γ := min{γf , γg }. Furthermore we have:

n
X
S(f + g, P ) = [(f + g)(ti )(xi − xi−1 )]
i=1
Xn
= [f (ti )(xi − xi−1 ) + g(ti )(xi − xi−1 )]
i=1
n
X n
X
= [f (ti )(xi − xi−1 )] + [g(ti )(xi − xi−1 )]
i=1 i=1
= S(f, P ) + S(g, P ).

If we now have a partition P that is γ-fine, then because of the construction of γ this
P is also γf - and γg -fine. Therefore we know that
 Z b Z b   Z b   Z b 
     
S(f + g, P ) − ( f + g) ≤  S(f, P ) − f  +  S(g, P ) − g 
     
a a a a
 
≤ + = .
2 2
Since our  was arbitrary, this holds
R b for all  >
R b 0 and
R btherefore f + g is Henstock-
Kurzweil integrable on [a, b] with a (f + g) = a f + a g.

The next thing we are going to look at is the Cauchy criterion for Henstock-Kurzweil
integrals [4]. This theorem is a nice one, because with this theorem one can prove that a
certain function is Henstock-Kurzweil integrable without knowing the value of the integral.
It will be used in some proofs later on.

Theorem 3.4 - Cauchy criterion. A function f : [a, b] → R is Henstock-Kurzweil

integrable on [a, b] if and only if for every  > 0 there exists a gauge γ on [a, b] such that if
P1 and P2 are tagged partitions of [a, b] that are γ-fine, then |S(f, P1 ) − S(f, P2 )| ≤ .

10
Proof. First we assume that f is Henstock-Kurzweil integrable on [a, b]. Let  > 0. We
know that for 2 , there exists a gauge γ on [a, b] such that if P1 and P2 are tagged partitions
of [a, b] that are γ-fine then,  Z b 
  
S(f, P1 ) − f ≤
  2
a
and  Z b 
  
S(f, P2 ) − f  ≤ .

a 2
Now it follows that
 Z b  Z b 
   
|S(f, P1 ) − S(f, P2 )| ≤ S(f, P1 ) − f  +  f − S(f, P2 )
a a
 
≤ + = .
2 2
Because our  was arbitrary, we know that this holds for all  > 0.
Conversely, we assume that for every  > 0 there exists a gauge γ on [a, b] such that if P1
and P2 are tagged partitions of [a, b] that are γ-fine, then |S(f, P1 ) − S(f, P2 )| ≤ . For
each n ∈ N, choose a gauge γn such that
1
|S(f, P1 ) − S(f, P2 )| ≤
n
whenever P1 and P2 are γn -fine. We may assume that the sequence {γn } is non-increasing.
For each n, let Pn be a tagged partition of [a, b] that is γn -fine. If m > n ≥ N , then
γN ≥ γn ≥ γm . Now Pn is γn -fine and thus also γN -fine. The same holds for Pm : Pm is
γm -fine and thus γN -fine. Now we have that
1
|S(f, Pn ) − S(f, Pm )| ≤
N
for m > n ≥ N . So the sequence {S(f, Pn )} is a Cauchy sequence. Now let A be the limit
of this sequence and let  > 0. Choose an integer N ∈ N such that N1 ≤ 2 and

|S(f, Pn ) − A| ≤
2
for all n ≥ N . Now let P be a partition of [a, b] that is γN -fine, then

|S(f, P ) − A| ≤ |S(f, P ) − S(f, PN )| + |S(f, PN ) − A|

1 
≤ +
N 2
 
≤ + = .
2 2
Because our  was arbitrary, we conclude that f is Henstock-Kurzweil integrable on [a, b].

11
 If we have a function f that is Henstock-Kurzweil integrable on an interval [a, b], then
intuitively we suppose that it is also Henstock-Kurzweil integrable on subintervals of [a, b].
We also suppose by intuition that if a function is Henstock-Kurzweil integrable on [a, c]
and on [c, b], then it is also Henstock-Kurzweil integrable on [a, b]. It turns out that these
two statements are indeed true. This is the content of the following theorem. We are going
to use the previous theorem, the Cauchy criterion, to prove this. [4].
Theorem 3.5. Let f : [a, b] → R and c ∈ (a, b).

1. If f is Henstock-Kurzweil integrable on [a, c] and on [c, b], then f is Henstock-Kurzweil

integrable on [a, b].

2. If f is Henstock-Kurzweil integrable on [a, b], then f is Henstock-Kurzweil integrable

on every subinterval [α, β] ⊆ [a, b].

Proof. 1. Let  > 0. Because f is Henstock-Kurzweil integrable on [a, c] we know that


for 2 there exists a gauge γa such that if P1 and P2 are tagged partitions of [a, c] that
are γa -fine, then

|S(f, P1 ) − S(f, P2 )| ≤ .
2
We also apply the Cauchy criterion to the interval [c, b]. We know that for 2 there
exists a gauge γb such that
  
S(f, P̃ ) − S(f, P̃ 2  ≤
)
 
1
2


whenever P̃1 and P̃2 are tagged partitions of [c, b] that are γb -fine. Now we define a
new gauge: γ := max{γa , γb }. If we now have a partition that is γa -fine or γb -fine,
then it is also γ-fine. Now we take Pa := P1 ∪ P̃1 and Pb := P2 ∪ P̃2 ; these Pa and Pb
are tagged partitions of [a, b] that are γ-fine. Now we have:
 
|S(f, Pa ) − S(f, Pb )| = S(f, P1 ) + S(f, P̃1 ) − [S(f, P2 ) + S(f, P̃2 )]
 
   
≤ S(f, P1 ) − S(f, P2 ) + S(f, P̃1 ) + S(f, P̃2 )
   
 
≤ + = .
2 2
Because our  was arbitrary, this holds for all  > 0 and therefore we conclude by the
Cauchy criterion that f is Henstock-Kurzweil integrable on [a, b]

2. Let  > 0. Choose a gauge γ such that

|S(f, P1 ) − S(f, P2 )| ≤ 

whenever P1 and P2 are γ-fine. We can do this because of the Cauchy criterion. Now
fix partitions Pα of [a, α] and Pβ of [β, b] that are γ-fine. Let P̃1 and P̃2 be tagged

12
 partitions of [α, β] that are γ-fine. Such partitions exist because of Cousin’s lemma
(lemma 2.1). Now define P1 := Pα ∪ P̃1 ∪ Pβ and P2 := Pα ∪ P̃2 ∪ Pβ . P1 and P2 are
now tagged partitions of [a, b] that are γ-fine. So we get:
   
S(f, P̃1 ) − S(f, P̃2 ) = S(f, Pα ) + S(f, P̃1 ) + S(f, Pβ ) − [S(f, Pα ) + S(f, P̃2 ) + S(f, Pβ )]
   

= |S(f, P1 ) − S(f, P2 )|
≤ .

Because our  was arbitrary, we have  that for every  > 0 there exists a gauge γ on
[α, β] such that S(f, P̃1 ) − S(f, P̃2 ) ≤  when P̃1 and P̃2 are γ-fine tagged partitions
 

of [α, β]. By using the Cauchy criterion again, we conclude that f is Henstock-
Kurzweil integrable on [α, β].

We are now going to look at functions that are zero almost everywhere on an interval
[a, b]. It turns out that such functions are Henstock-Kurzweil integrable and that their
integrals are, as expected, equal to zero [4].

Theorem 3.6. Let f : [a, b] → R. If f = 0 except on a countable number of points on

Rb
[a, b], then f is Henstock-Kurzweil integrable on [a, b] with a f = 0.

Proof. Let  > 0. First we define the set where f (x) 6= 0: A := {an : n ∈ Z>0 } = {x ∈
[a, b] : f (x) 6= 0}. Now we are going to define an appropriate gauge on [a, b]:
(
1 if x ∈ [a, b] and x 6∈ A
γ(x) := 2−n .
|f (an )|
if x ∈ A

Suppose that P = {(ti , [xi−1 , xi ]) : 1 ≤ i ≤ n} is a tagged partition of [a, b] that is γ-fine.

So xi − xi−1 ≤ γ(ti ) for all 1 ≤ i ≤ n. Now let π be the set of all indices i such that the
tags ti ∈ A. Choose ni such that ti = ani . Let σ be the set of indices i such that ti 6∈ A.
We know that if we have such a tag, then f (ti ) = 0 and thus f (ti )(xi − xi−1 ) = 0. So tags

13
that are not in A do not contribute to S(f, P ). We have
 
X n 
|S(f, P )| =  f (ti )(xi − xi−1 )
 
 
 i=1   
X  X 
≤ f (ti )(xi − xi−1 ) +  f (ti )(xi − xi−1 )
   
   
i∈π i∈σ
X 2−ni
≤ |f (ani )|
i∈π
|f (ani )|
X
= 2−ni
i∈π
X∞
≤ 2−ni = 
i=1

and because our  was arbitrary, this holds Rfor all  > 0. Thus we can conclude that f is
b
Henstock-Kurzweil integrable on [a, b] with a f = 0.

With the previous theorem we can prove that if we have two functions that are the same
almost everywhere on an interval [a, b] and if one of them is Henstock-Kurzweil integrable
on that interval, then the other is also Henstock-Kurzweil integrable and their integrals
are the same. This is the content of the next theorem [4].

Corollary 3.1. Let f : [a, b] → R be Henstock-Kurzweil integrable on [a, b] and let g :

[a, b] → R. If f = g except on a countable number of points on [a, b], then g is Henstock-
Rb Rb
Kurzweil integrable on [a, b] with a g = a f .

Proof. We define a new function: h := g − f on [a, b]. We have h = 0 except on a countable

number of points on [a, b]. So from theorem 3.6 we conclude that h is Henstock-Kurzweil
Rb
integrable on [a, b] with a h = 0. Since f and h are both Henstock-Kurzweil integrable on
[a, b], from theorem 3.3 we know that g = f + h is Henstock-Kurzweil integrable on [a, b]
Rb Rb Rb Rb
with a g = a f + a h = a f .

The last property we are going to look at considers two Henstock-Kurzweil integrable
functions on an interval [a, b]. If one of them is less or equal than the other almost every-
where on the interval [a, b], then the statement is that the integral of the smallest function
is less or equal than the biggest [8]. We will also use this theorem when we are proving
convergence theorems in section 6.

Corollary 3.2. If f and g are Henstock-Kurzweil integrable on [a, b] and f (x) ≤ g(x)
Rb Rb
except on a countable number of points on [a, b], then a f ≤ a g.

14
Proof. Define two new functions:
(
f (x) ∀x such that f (x) ≤ g(x)
f˜(x) =
0 ∀x such that f (x) > g(x)

and (
g(x) ∀x such that f (x) ≤ g(x)
g̃(x) = .
0 ∀x such that f (x) > g(x)

Because f (x) = f˜(x) and g(x) = g̃(x) almost everywhere on [a, b], we know from corollary
Rb Rb Rb Rb
3.1 that a f = a f˜ and a g = a g̃. Because g̃ ≥ f˜ we know g̃ − f˜ ≥ 0 and thus it follows
Rb Rb Rb Rb Rb Rb
that a (g̃ − f˜) ≥ 0. Now we have a g − a f = a g̃ − a f˜ = a (g̃ − f˜) ≥ 0, so it follows
Rb Rb
that a g ≥ a f .

4 Examples
Now we have seen al those nice properties of the Henstock-Kurzweil integral in the previous
section, we are going to look at some explicit examples of Henstock-Kurzweil integrable
functions. For all the examples that we treat, we will give a proof that they are Henstock-
Kurzweil integrable mostly by defining an appropriate gauge.
We will start easy: first we are going to look at linear functions. Secondly we are going to
prove that Dirichlet’s function is not Riemann integrable, but that it is Henstock-Kurzweil
integrable as said before. Then we will modify Dirichlet’s function and see what happens
with the integrability. At last we are going to investigate Thomae’s function.

4.1 Linear functions

We begin here with investigating the easiest linear function. We want to find out if the
function f (x) = c with c ∈ R is Henstock-Kurzweil integrable on the interval [a, b]. We
Rb
know that it is Riemann integrable with a f = c(b − a). So we know by theorem 3.1 that
Rb
it is also Henstock-Kurzweil integrable with a f = c(b − a). In the following proposition
we are going to prove this by looking at the definition.

Proposition 4.1. The function f (x) = c with c ∈ R is Henstock-Kurzweil integrable on

Rb
the interval [a, b] with a f = c(b − a).

Proof. Let  > 0. We know that f (x) = c, ∀x ∈ [a, b]. So for any tagged partition P of
[a, b], we have
n
X n
X
S(f, P ) = f (ti )(xi − xi−1 ) = c(xi − xi−1 ).
i=1 i=1

15
 Pn
This is a telescoping sum, so i=1 c(xi − xi−1 ) = c(b − a). Therefore we have that

|S(f, P ) − c(b − a)| = |c(b − a) − c(b − a)|

=0<

for any tagged partition P . So this certainly holds if P is a tagged partition that is γ-fine
for any gauge γ. Since our  is arbitrary, it holds for all  > 0 and thus f (x) = c is
Rb
Henstock-Kurzweil integrable on [a, b] with a f = c(b − a).

We will now look at the function f (x) = x. We know that this function is Riemann
integrable and therefore Henstock-Kurzweil integrable. Here we are going to prove it by
finding an appropriate gauge.

Proposition 4.2. The function f (x) = x is Henstock-Kurzweil integrable on the interval

Rb
[a, b] with a f = 12 (b2 − a2 ).
q
Proof. Let  > 0. We take γ(x) := 2 n
to be our gauge, where n is the number of tags and
thus the number of subintervals in the tagged
q partition. Suppose P is a tagged partition of
[a, b] that is γ-fine. So xi − xi−1 ≤ γ(ti ) = 2
n
for all 1 ≤ i ≤ n. We can write 21 (b2 − a2 )
as a telescoping sum:
n
1 2 2 1X 2
(b − a ) = [x − x2i−1 ].
2 2 i=1 i
If we look at the distance from a tag ti to the middle of a subinterval [xi−1 , xi ], we know
it is always less or equal to half the length of the subinterval. So:
 

ti − x i + x i−1  1
 ≤ |xi − xi−1 | .
 2  2

16
Now we have:
   n n

 1  X
S(f, P ) − (b2 − a2 ) =  [ti (xi − xi−1 )] − 1 X
2 2

[x − x ]

i i−1 
 2   2 
 i=1
n
i=1

X 1 
=  [ti (xi − xi−1 ) − (xi − xi−1 )(xi + xi−1 )]
 
 2 
 i=1
n

X xi + xi−1 
=  [(xi − xi−1 )(ti − )]


i=1
2 
n  
X  xi + xi−1 
≤ |xi − xi−1 | ti −
i=1
2 
n
X 1
≤ |xi − xi−1 |2
i=1
2
n r 2
X 1 2
≤
i=1
2 n
n
X 
= = .
i=1
n

Because our  was arbitrary, we know that this holds for all  > 0 and thus f (x) = x is
Rb
Henstock-Kurzweil integrable on [a, b] with a f = 12 (b2 − a2 ).

Because we know now that the functions f (x) = c with c ∈ R and f (x) = x are Henstock-
Kurzweil integrable on an arbitrary interval [a, b], we know that all linear functions are
Henstock-Kurzweil integrable on an interval [a, b]. This follows directly from theorem 3.3
and propositions 4.1 and 4.2 and the fact that a linear function is always of the form
f (x) = dx + c with c, d ∈ R.

4.2 Dirichlet’s function

Dirichlet’s function h : [a, b] → R is the characteristic function of the rational numbers. It
is a function which is discontinuous everywhere on the interval [a, b]. Dirichlet’s function
is given by: (
1 if x ∈ Q
h(x) =
0 if x 6∈ Q

This function is bounded, but not Riemann integrable. We will prove that now.

Proposition 4.3. Dirchlet’s function h(x) is not Riemann integrable on [a, b].

17
Proof. Recall from section 2 that the number A is the Riemann integral of h(x) on [a, b]
if for all  > 0 there exists a δ > 0 such that if P is any tagged partition of [a, b]
satisfying xi − xi−1 ≤ δ for all i = 1, 2, · · · , n then |S(h, P ) − A| ≤ . Suppose that
P = {(ti , [xi−1 , xi ]) : 1 ≤ i ≤ n} is a tagged partition of [a, b] that satisfies xi − xi−1 ≤ δ
for all i = 1, 2, · · · , n. Because the rationals and irrationals are both dense in R, each
subinterval contains a point that is rational and a point that is irrational. We distinguish
between two cases: the first case is when A 6= 0 and the second is when A = 0.
First, assume A 6= 0. We choose all our tags to be irrational, so ti 6∈ Q. If we do this we
get:
 
X n 
|S(h, P ) − A| =  h(ti )(xi − xi−1 ) − A
 
 
 i=1 
X n 
= 0(xi − xi−1 ) − A
 
 
i=1
= |A| .
So we can not always make the expression |S(h, P ) − A| smaller than  for any tagged
partition P that satisfies xi − xi−1 ≤ δ . Therefore we can conclude that h(x) is not
Riemann integrable on [a, b].
Now we assume that A = 0. Now we choose all our tags to be rational, so ti ∈ Q. Now we
get:
 n 
X 
|S(h, P )| =  h(ti )(xi − xi−1 )
 
 
 i=1
n

X 
= 1(xi − xi−1 )
 
 
i=1
= |b − a| .
So again, we can not always make the expression |S(h, P ) − A| smaller than  for any
tagged partition P that satisfies xi − xi−1 ≤ δ . Therefore we conclude that h(x) is not
Riemann integrable on [a, b].

We have now shown that Dirichlet’s function is not Riemann integrable on an interval
[a, b]. Dirichlet’s function is actually Henstock-Kurzweil integrable. We will prove that
statement now [2].
Proposition 4.4. Dirichlet’s function h : [a, b] → R is Henstock-Kurzweil integrable with
Rb
a
h = 0.

Proof. Let  > 0. First we enumerate the rational numbers in [a, b] as {r1 , r2 , · · · }. Now
we define our gauge γ : (

i if x = ri
γ (x) := 2 .
1 if x 6∈ {r1 , r2 , · · · }

18
Note that our γ is not a constant value. Suppose P = {(ti , [xi−1 , xi ]) : 1 ≤ i ≤ n} is a
tagged partition of [a, b] that is γ -fine. If ti ∈ {r1 , r2 , · · · } is a tag, then h(ti ) = 1 and
xi − xi−1 ≤ γ (ti ) = 2i where [xi−1 , xi ] is the subinterval corresponding to the tag ti . Thus
we have: h(ti )(xi − xi−1 ) ≤ 2i for tags ti ∈ {r1 , r2 , · · · }. If ti 6∈ {r1 , r2 , · · · } is a tag, then
h(ti ) = 0 and xi − xi−1 ≤ γ (ti ) = 1 where [xi−1 , xi ] is the subinterval corresponding to the
tag ti . Therefore: h(ti )(xi − xi−1 ) = 0. So the subintervals with tags ti 6∈ {r1 , r2 , · · · } do
not contribute to S(h, P ). Let π be the set of indices i such that ti ∈ {r1 , r2 , · · · } and let
σ be the set of indices i such that ti ∈ {r1 , r2 , · · · }. We conclude that:
 
X n 
|S(h, P )| =  h(ti )(xi − xi−1 )
 
 
 i=1   
X  X 
≤ h(ti )(xi − xi−1 ) +  h(ti )(xi − xi−1 )
   
   
i∈π i∈σ
∞
X 
≤
i=1
2i
∞
X 1
= = .
i=1
2i

Since our  was arbitrary, we know that

R b this holds for all  and thus Dirichlet’s function h
is Henstock-Kurzweil integrable with a h = 0.

In section 3 we saw that every Riemann integrable function is Henstock-Kurzweil inte-

grable. Here we have shown that the converse statement is false by giving an example of
a function that is Henstock-Kurzweil integrable, but not Riemann integrable.

4.3 Modified Dirichlet function

We are now going to look what happens if we adjust Dirichlet’s function a little bit. We
define a new function g by (
x if x ∈ Q
g(x) :=
0 if x 6∈ Q.
We are now going to investigate the Riemann and the Henstock-Kurzweil integrability of
this function. It turns out that this little modification does not affect the integrability: the
function g is still not Riemann integrable but it is Henstock-Kurzweil integrable. To prove
these two statements, we can follow the proofs of Dirichlet’s function and we only need to
make a few adjustments.

Proposition 4.5. The modified Dirichlet function g(x) is not Riemann integrable on [a, b].

19
Proof. Recall again that the number A is the Riemann integral of g(x) on [a, b] if for
all  > 0 there exists a δ > 0 such that if P is any tagged partition of [a, b] satisfying
0 ≤ xi − xi−1 ≤ δ for all i = 1, 2, · · · , n then |S(g, P ) − A| ≤ . Suppose that P =
{(ti , [xi−1 , xi ]) : 1 ≤ i ≤ n} is a tagged partition of [a, b] that satisfies 0 ≤ xi − xi−1 ≤ δ
for all i = 1, 2, · · · , n. Because the rationals and irrationals are both dense in R, each
subinterval contains a point that is rational and a point that is irrational. Again, we
distinguish between two cases: A 6= 0 and A = 0.
The proof of the first case, when A 6= 0, is identical to the proof of that of Dirichlet’s
function, so we will skip that part here.
If A = 0, we choose our xi ∈ Q. Next we choose our tags to be the midpoints of the
subintervals: ti = xi−12+xi ∈ Q. It could be that a = x0 and b = xn are no rational
numbers. Now we get
 
X n 
|S(g, P )| =  g(ti )(xi − xi−1 )
 
 
 i=1 n−1

 X 
= g(t1 )(x1 − x0 ) + g(ti )(xi − xi−1 ) + g(tn )(xn − xn−1 )
 
 
i=2
 
n−1
 X x i−1 + x i

= g(t1 )(x1 − a) + g(tn )(b − xn−1 ) + (xi − xi−1 )
 

i=2
2 
 
n−1
 X 1 2 
= g(t1 )(x1 − a) + g(tn )(b − xn−1 ) + (xi − x2i−1 )
 

i=2
2 
 
 1 
= g(t1 )(x1 − a) + g(tn )(b − xn−1 ) + (x2n−1 − x21 )
2

We can not make the term 12 (x2n−1 − x21 ) arbitrarily small by refining our partition. So we
can not make the whole expression |S(g, P ) − A| smaller than  for any tagged partition P
that satisfies xi −xi−1 ≤ δ . Therefore we can conclude that g(x) is not Riemann integrable
on [a, b].

Proposition 4.6. The modified Dirichlet function g : [a, b] → R is Henstock-Kurzweil

Rb
integrable with a g = 0.

Proof. Let  > 0. We start again with enumerating the rationals in [a, b] as {r1 , r2 , · · · }.
Now we define our gauge γ :
( 
  i  if x = ri
x2
γ (x) := .
1 if x 6∈ {r1 , r2 , · · · }

Suppose P = {(ti , [xi−1 , xi ]) : 1 ≤ i ≤ n} is a tagged partition of [a, b] that  is γ -fine. If

  
ti ∈ {r1 , r2 , · · · } is a tag, then g(ti ) = ti and xi − xi−1 ≤ γ (ti ) =  ti 2i  where [xi−1 , xi ]

20
is the subinterval corresponding to the tag ti . If ti 6∈ {r1 , r2 , · · · } is a tag, then g(ti ) = 0
and xi − xi−1 ≤ γ (ti ) = 1 where [xi−1 , xi ] is the subinterval corresponding to the tag ti .
Therefore: g(ti )(xi − xi−1 ) = 0. So the subintervals with tags ti 6∈ {r1 , r2 , · · · } do not
contribute to S(h, P ). Let π be the set of integers i such that ti ∈ {r1 , r2 , · · · } and let σ
be the set of integers i such that ti ∈ {r1 , r2 , · · · }. We can conclude that:
   
X  X 
|S(g, P )| =  g(ti )(xi − xi−1 ) +  g(ti )(xi − xi−1 )
   
   
i∈π i∈σ
 
X   
≤ |ti |  i 
i∈π
ti 2
∞
X 
≤ = .
i=1
2i

Since our  was arbitrary, we know this holds for all  > R0 and thus is the modified Dirichlet
b
function g Henstock-Kurzweil integrable on [a, b] with a g = 0.

4.4 Thomae’s function

The next function we will look at is Thomae’s function. It is given by:

1
 if x = 0
T (x) = n1 if x = mn
∈ Q \ {0} is in lowest terms with n > 0 .

0 if x 6∈ Q


This function is a special one, because it has the property that it is continuous at every ir-
rational point and discontinuous at every rational point. To show this we look at sequences
[1].
Proposition 4.7. Thomae’s function T is continuous at every irrational point and dis-
continuous at every rational point.

Proof. We will first look at the rational points; so we look at c ∈ Q. We know that T (c) > 0.
We can find a sequence (yn ) 6∈ Q which converges to c, because the irrationals are dense in
R. Because (yn ) 6∈ Q, we have T (yn ) = 0. So while (yn ) → c, T (yn ) → 0 6= T (c). Because
c was an arbitrary rational number, we conclude that T (x) is not continuous at all rational
points.
Now we are going to look at the irrational points; so we look at d 6∈ Q. Because the
rationals are also dense in R we can find a sequence (zn ) ∈ Q which converges to d. The
closer a rational number is to a fixed irrational number, the larger its denominator must
necessarily be. If the denominator is large, then its reciprocal is close to zero. So if (zn ) → d
it follows that T (zn ) → 0 = T (d). Because d was an arbitrary irrational number, we can
conclude that T (x) is continuous at all irrational points.

21
 Now we want to investigate if Thomae’s function is Henstock-Kurzweil integrable. It
turns out that it is. We will prove that statement now. We are doing this again by finding
an appropriate gauge. This gauge will look like the gauges we used for Dirichlet’s function
and the modified version of it: we distinguish for the different cases just like in Thomae’s
function itself.

PropositionR b 4.8. Thomae’s function T is Henstock-Kurzweil integrable on the interval

[a, b] with a T = 0.

Proof. Let  > 0. Suppose that P = {(ti , [xi−1 , xi ]) : 1 ≤ i ≤ n} is a tagged partition of

[a, b]. Let π be the set of indices i such that the tags ti are rational; so π := {i : ti = m
ni
i
∈
Q \ {0} is in lowest terms, with ni > 0}. Let ρ be the set of indices i such that the tags ti
are irrational; so ρ := {i : ti 6∈ Q}. Let σ be the set of indices i such that the tags ti are
zero; so σ := {i : ti = 0}. The set σ contains at most two elements, because there can be
at most be two intervals that have the same tag. This tag should be the right endpoint of
one of the subintervals and the left endpoint of the other subinterval. Now we define our
gauge γ as follows:


 4 if x = 0

γ (x) = n2q
if x = mn
∈ Q \ {0} is in lowest terms with n > 0

1 if x 6∈ Q


where q is the number of elements of the set π. Now suppose our tagged partition P is
γ -fine. Then:
 
X n 
|S(T, P )| =  T (ti )(xi − xi−1 )
 
 
 i=1     
X  X  X 
≤ T (ti )(xi − xi−1 ) +  T (ti )(xi − xi−1 ) +  T (ti )(xi − xi−1 )
     
     
i∈π i∈ρ i∈σ
   
X 1  X 
= (xi − xi−1 ) +  (xi − xi−1 )
   
 ni   
 i∈π    i∈σ
X 1 n   X  
i 
≤ +
  
n 2q 4

 i   
 i∈π  i∈σ
X     
≤ + 
   
 2q  2
 i∈π
 
= + =
   
2 2
Because our  was arbitrary, this holds for all  > 0 and therefore Rwe conclude that
b
Thomae’s function T (x) is Henstock-Kurzweil integrable on [a, b] with a T = 0.

22
5 The Fundamental Theorem of Calculus
The Fundamental Theorem of Calculus states that if F is differentiable on [a, b] and F 0 = f ,
Rb
then a f = F (b) − F (a). In the case of Riemann integration it is necessary to add the
additional condition that f must be integrable. This condition is necessary, because not
every derivative turns out to be Riemann integrable. This is one of the shortcomings of
the Riemann integral. We are going to investigate if this problem also occurs when we are
working with the Henstock-Kurzweil integral.
To show that not every derivative is Riemann integrable, we will now present an example.
We consider the following function:
(
x2 sin( x12 ) if x 6= 0
F (x) := .
0 if x = 0

We claim that this function is continuous and differentiable everywhere. For x 6= 0 this is
easy to see: F is a product of a composition of continuous, differentiable functions. For
x = 0 we have that limx→0 F (x) = 0 and F (0) = 0, so F (x) is continuous at x = 0 and
because limx→0 F (x)−F
x−0
(0)
= limx→0 F (x)
x
= limx→0 x sin( x12 ) = 0, F (x) is also differentiable
at x = 0. By using the basic rules of differentiation we get:
(
2x sin( x12 ) − x2 cos( x12 ) if x 6= 0
F 0 (x) := .
0 if x = 0

Lebesgue’s theorem states that a function is Riemann integrable if and only if it is bounded
and continuous almost everywhere [8]. We are going to show that F 0 (x) is not Riemann
integrable on an interval [0, b] (where b ∈ R+ ) by showing that it is unbounded [8].
Proposition 5.1. The function F 0 (x) as given above is unbounded on the interval [0, b].
n 2
Proof. Let n be a positive integer and let x = 2π . The Archimedean property states that
n2
for every real number x, there exists a natural number N such that N > x. Our x = 2π is a
√ so there exists N1 ∈ N
real number,
1
such that N1 > x. This is equivalent to the statement
that n < 2πN1 . Now take y = 2πb2 . This y is again a real number, so there exists N2 ∈ N
1
such that N2 > y and this is equivalent to √2πN < b. Now we take N = max{N1 , N2 }.
√ 1
2
1
Then n < 2πN and 0 < √2πN < b. So we have that √2πN ∈ [0, b] and we are going to
0
evaluate F (x) at this value:
√
   
 0
F ( √ 1   2
 = √

) sin(2πN ) − 2 2πN cos(2πN )
 2πN   2πN 
√
= 2 2πN > n.

Because our n was an arbitrary integer, we conclude that F 0 (x) is unbounded on the
interval [0, b].

23
 So we have found a function that is a derivative and that is unbounded. Therefore this
derivative is not Riemann integrable. So the condition that f = F 0 is Riemann integrable
is necessary in the Fundamental Theorem.
Now we are going to show that we do not need this extra condition when we are considering
Henstock-Kurzweil integration, because it turns out that every derivative is Henstock-
Kurzweil integrable. We will see this while we are proving the Fundamental Theorem
considering Henstock-Kurzweil integration [2, 7].

Theorem 5.1 - The Fundamental Theorem. If F : [a, b] → R is differentiable at every

Rb
point of [a, b] then f = F 0 is Henstock-Kurzweil integrable on [a, b] with a f = F (b)−F (a).

Proof. Let  > 0. Suppose t ∈ [a, b]. Because f (t) = F 0 (t) exists, we know from the

definition of differentiability that for b−a there exists a δt such that if 0 < |z − t| ≤ δt for
z ∈ [a, b] then  
 F (z) − F (t)  
 − f (t) ≤ .
 z−t b−a
Now we let these δt ’s form our gauge:

γ(t) := δt .

Note that this gauge γ is not a constant, because δt is not the same for all t; δt depends
on t. Now if |z − t| ≤ γ(t) for z, t ∈ [a, b] then

|F (z) − F (t) − f (t)(z − t)| ≤ |z − t| .
b−a
If a ≤ α ≤ t ≤ β ≤ b and 0 < |β − α| ≤ γ(t) then by the triangle inequality, we get

|F (β) − F (α) − f (t)(β − α)| ≤ |F (β) − F (t) − f (t)(β − t)| + |F (t) − F (α) − f (t)(t − α)|
 
≤ |β − t| + |t − α|
b−a b−a

= |β − α| .
b−a
Let P := {(ti , [xi−1 , xi ]) : 1 ≤ i ≤ n} be a tagged partition
Pnof [a, b] that is γ-fine. We can
write F (b) − F (a) as a telescoping sum: F (b) − F (a) = i=1 (F (xi ) − F (xi−1 )). Now we

24
have:
|S(f, P ) − (F (b) − F (a))| = |F (b) − F (a) − S(f, P )|
 
X n Xn 
=  (F (xi ) − F (xi−1 )) − f (ti )(xi − xi−1 )
 
 
 i=1 i=1

X n 
=  (F (xi ) − F (xi−1 ) − f (ti )(xi − xi−1 ))
 
 
i=1
n
X
≤ |F (xi ) − F (xi−1 ) − f (ti )(xi − xi−1 )|
i=1
n
X 
≤ |xi − xi−1 |
i=1
b−a

= (b − a) = .
b−a
0
Because our  was arbitrary, this holds for all
R b  > 0 and thus we conclude that f = F is
Henstock-Kurzweil integrable on [a, b] with a f = F (b) − F (a).

We see that every derivative is Henstock-Kurzweil integrable, because we could take

γ(t) := δt as gauge, where δt stems from the definition of differentiability. So the short-
coming that not every derivative is Riemann integrable does not occur when we are con-
sidering Henstock-Kurzweil integrability and the Fundamental theorem does not need an
extra condition.

6 Convergence theorems
Another limitation of the Riemann integral arises when we consider limits of sequences of
functions. To illustrate this we look at Dirichlet’s function again. Recall from subsection
4.2 that Dirichlet’s function is the characteristic function of the rationals and is given by:
(
1 if x ∈ Q
h(x) =
0 if x 6∈ Q.

Now we focus on the interval [0, 1]. Let {r1 , r2 , ...} be an enumeration of the rational points
in this interval. Now define h1 (x) = 1 if x = r1 and h1 (x) = 0 otherwise. Next, define
h2 (x) = 1 if x = r1 or x = r2 and h2 (x) = 0 otherwise. By continuing this, we get:
(
1 if x ∈ {r1 , r2 , · · · , rn }
hn (x) = .
0 if x 6∈ {r1 , r2 , · · · , rn }

25
Each
Rb hn has a finite number of discontinuities and is therefore Riemann integrable with
h
a n
= 0. We also have that hn → h pointwise. We saw in subsection 4.2 that Dirichlet’s
function is not Riemann integrable. Thus we have that
Z 1 Z 1
lim hn = h
n→∞ 0 0

does not hold, because the value on the right-hand side does not exist [1].
In this section we are going to look at convergence theorems for the Henstock-Kurzweil in-
tegral. We want to investigate if we can overcome shortcomings as above while considering
Henstock-Kurzweil integration instead of Riemann integration.
Before we begin our investigation regarding convergence and Henstock-Kurzweil integra-
tion, we define uniformly Henstock-Kurzweil integrability [4]. Then we continue with our
first convergence theorem which will involve uniformly Henstock-Kurzweil integrals. The
next theorem will be about uniform convergence and Henstock-Kurzweil integrability and
at last we are going to look at pointwise convergence.
Definition 6.1. Let {fn } be a sequence of Henstock-Kurzweil integrable functions on [a, b].
The sequence {fn } is uniformly Henstock-Kurzweil integrable on [a, b] if for all  > 0
there
 exist a gauge γ on [a, b] such that if P is a tagged partition of [a, b] that is γ-fine then
R b 
S(fn , P ) − a fn  ≤  for all n.


What this definition actually means is that if we can find one gauge γ that works for all
fn , then we call the sequence {fn } uniformly Henstock-Kurzweil integrable.
Now we are going to prove our first convergence-theorem [4].
Theorem 6.1. Suppose {fn } is a sequence of Henstock-Kurzweil integrable functions on
[a, b] and that {fn } converges pointwise to f . If {fn } is uniformly Henstock-Kurzweil inte-
Rb Rb
grable on [a, b], then f is Henstock-Kurzweil integrable on [a, b] with a f = limn→∞ a fn .

Proof. Let  > 0. Since {fn } is uniformly Henstock-Kurzweil integrable there exists a
gauge γ on [a, b] such that if P̃ is a tagged partition of [a, b] that is γ-fine, then
 Z b 
  
S(fn , P̃ ) − f n
≤
  3
a

for all n. Since {fn } converges pointwise on [a, b], there exists an integer N such that
  
S(fn , P̃ ) − S(fm , P̃ ) ≤
 
3
for all m, n ≥ N . Now it follows that:
Z b Z b  Z b     Z b 
     
f − f ≤ f − S(f , P̃ ) + S(fn , P̃ ) − S(fm , P̃ ) + S(fm , P̃ ) − f

n m n n m
 
     
a a a a
  
≤ + + =
3 3 3

26
 Rb
for all m, n ≥ N . This means that { a fn } is a Cauchy sequence. Let A be the limit of
Rb
this sequence. Our claim is now that a f = A.
Rb
Let  > 0. Since { a fn } is a Cauchy sequence, we can choose an integer N such that
Z b 
  

 f n − A≤
 3
a

for all n ≥ N . Since {fn } is uniformly Henstock-Kurzweil integrable, there exists a gauge
γ such that if P is a tagged partition of [a, b] that is γ-fine, then
 Z b 
  
S(fn , P ) − f n
≤
  3
a

for all n. Now suppose P is a tagged partition of [a, b] that is γ-fine. Since {fn } converges
pointwise to f there exist k ≥ N such that

|S(f, P ) − S(fk , P )| ≤ .
3
Thus, it follows that:
 Z b  Z b 
   
|S(f, P ) − A| ≤ |S(f, P ) − S(fk , P )| + S(fk , P ) − fk  +  fk − A
a a
  
≤ + + = .
3 3 3
Since our  was arbitrary, we conclude that f is Henstock-Kurzweil integrable on [a, b] with
Rb
a
f = A = limn→∞ fn .

The next convergence theorem we are going to look at is about uniform convergence in
combination with Henstock-Kurzweil integrability.
Theorem 6.2. If {fk } is a sequence of Henstock-Kurzweil integrable functions on [a, b] that
converges uniformly to f on [a, b], then it follows that f is Henstock-Kurzweil integrable on
Rb Rb
[a, b] with a f = limk→∞ a fk .

Before we can prove this theorem, we need to prove a lemma.

Lemma 6.1. If f : [a, b] → R is Henstock-Kurzweil integrable and |f (x)| ≤ M with M ∈ R
R b 
for all x ∈ [a, b] then  a f  ≤ M (b − a).

Proof. |f (x)| ≤ M means that −M ≤ f (x) ≤ M . In section 4.1 we saw that the function
Rb
f (x) = c with c ∈ R is Henstock-Kurzweil integrable on [a, b] with a f = c(b − a). So we
know that M and −M are Henstock-Kurzweil integrable. Applying theorem 3.3, we get
Z b
M = M (b − a)
a

27
 Z b Z b
−M = − M = −M (b − a).
a a

Corollary 3.2 states that if f and g are Henstock-Kurzweil integrable on [a, b] and f (x) ≤
Rb Rb
g(x) on [a, b], then a f ≤ a g. We apply this corollary to −M ≤ f (x) and to f (x) ≤ M
and thus we get Z b Z b
−M = −M (b − a) ≤ f
a a
and Z b Z b
f≤ M = M (b − a).
a a
We conclude that Z b 
 

 f  ≤ M (b − a).
a

Now we have proven this lemma, we can prove theorem 6.2 [3].

Proof. Theorem 6.2. Let  > 0. Because {fk } converges uniformly to f , there exists a
K ∈ N such that

|fk − f | ≤
2(b − a)
for all x ∈ [a, b] whenever k ≥ K. Consequently, if h, k ≥ K then we have

|fk − fh | ≤ |fk − f | + |f − fh |
  
≤ + = .
2(b − a) 2(b − a) (b − a)

By assumption fk and fh are Henstock-Kurzweil integrable and thus follows from theorem
3.3 that fk − fh is Henstock-Kurzweil integrable. Now we can apply lemma 6.1 to fk − fh :
Z b 

 (fk − fh ) ≤
 
  (b − a) (b − a) = .
a
R 
 b
Because of the linearity properties of the Henstock-Kurzweil integral, we know that  a (fk − fh ) =

R R b 
 b Rb
 a fk − a fh  ≤ . Because our  was arbitrary, this means that the sequence { a fk } is a
Rb
Cauchy sequence. Let A be the limit of this sequence. Our claim is again that a f = A.
Let  > 0 and let P = {(ti , [xi−1 , xi ]) : 1 ≤ i ≤ n} be a tagged partition of [a, b].
Rb
Since { a fk } is a Cauchy sequence with limit A, there exist an integer N ∈ N such that
for k ≥ N , we have Z b 
  

 f k − A ≤ .
 3
a

28
Since {fk } converges uniformly to f , there exists an K ∈ N such that if k ≥ K, then

|fk − f | ≤
3(b − a)

for all x ∈ [a, b]. Because of this, it follows that

 
X n Xn 
|S(fk , P ) − S(f, P )| =  fk (ti )(xi − xi−1 ) − f (ti )(xi − xi−1 )
 
 
 i=1 i=1

X n 
=  [(fk (ti ) − f (ti ))(xi − xi−1 )]
 
 
i=1
n
X
≤ |(fk (ti ) − f (ti ))(xi − xi−1 )|
i=1
n
X 
≤ (xi − xi−1 )
i=1
3(b − a)
 
= (b − a) = .
3(b − a) 3

All fk are Henstock-Kurzweil integrable. So for each fk there exists a gauge γk on [a, b]
such that whenever P is γk -fine we have
 Z b 
  
S(fk , P ) − fk  ≤ .

a 3
Now we choose a k such that k ≥ K and k ≥ N . Now we combine all the previous and we
get
 Z b  Z b 
   
|S(f, P ) − A| ≤ |S(f, P ) − S(fk , P )| + S(fk , P ) −
 fk  + 
  fk − A
a a
  
≤ + + = .
3 3 3
Because our  was arbitrary,
R b this holds for
R b all  > 0 and we conclude that f is Henstock-
Kurzweil integrable with a f = limk→∞ a fk .

We saw here that uniform convergence guarantees the limit function to be Henstock-
Kurzweil integrable as well. Now we are going to investigate if this also holds for pointwise
convergence. As it turns out, supposing that each function in a sequence that converges
pointwise is Riemann integrable is not enough to guarantee that the limit function is also
Riemann integrable. We saw a counterexample of this at the beginning of this section.
The monotone convergence theorem provides a set of conditions that guarantees that the
limit of a pointwise convergent sequence of Henstock integrable functions is also Henstock
integrable. This theorem does not hold for the Riemann integral; the sequence of functions

29
hn (x) at the beginning of this section turns out to be a counterexample again.
Before we can prove the monotone convergence theorem, we need to take a look at the
Saks-Henstock lemma [3]. This lemma is about subpartitions. A subpartition of [a, b]
is a partition that does not need to cover the whole interval [a, b]. So the union of the
subintervals of a subpartition does not have to be [a, b].

Definition 6.2. A subpartition P̃ := {[xj−1 , xj ] : 1 ≤ j ≤ m} of an interval [a, b] is a

finite collection of closed intervals such that [xj−1 , xj ] ⊂ [a, b] and where the subintervals
[xj−1 , xj ] can only have the endpoints in common.

Definition 6.3. A tagged subpartition P̃ := {(tj , [xj−1 , xj ]) : 1 ≤ j ≤ m} of an interval

[a, b] is a finite set of order pairs where tj ∈ [xj−1 , xj ] and the intervals [xj−1 , xj ] form a
subpartition of [a, b]. The numbers tj are again called the tags.

The Saks-Henstock lemma states that if we have a subpartition of the interval [a, b],
then we could make the difference between the Riemann sum and the integral over the
subintervals of the subpartition also smaller than . It also says that if we first take
absolute values and then summarize, this term will be smaller than 2.

Lemma 6.2 - Saks-Henstock lemma. Let f be a function that is Henstock-Kurzweil

 if P = {(t
integrable on [a, b] and let for  > 0 γ be a gauge on [a, b] such that i , [xi−1 , xi ]) :
R b 
1 ≤ i ≤ n} is a tagged partition of [a, b] that is γ -fine, then S(f, P ) − a f  ≤ . If


P̃ = {(tj , [xj−1 , xj ]) : 1 ≤ j ≤ s} = {(tj , Jj ) : 1 ≤ j ≤ s} is any γ -fine subpartition of

[a, b], then
  P R xj 
R R   s
1. S(f, P̃ ) − [ J1 f + · · · + Js f ] =  j=1 [f (tj )(xj − xj−1 ) − xj−1 f ] ≤  and
 

Ps  R xj 
2. f (t )(x − x ) − f ≤ 2.

j=1  j j j−1 xj−1 

Proof. 1. Let K1 , · · · , Km be closed subintervals in [a, b] such that {Jj }sj=1 ∪ {Kk }m
k=1
forms a partition of [a, b]. Now let α > 0 be arbitrary. Because each Kk ⊆ [a, b], we
know that f is Henstock-Kurzweil integrable on each Kk by theorem 3.5. So for each
Kk , there exists a gauge γα,k such that if Qk is a γα,k -fine tagged partition of Kk then
 Z 

S(f, Qk ) −
 α
f  ≤ .

Kk m

If we have that γα,k (x) ≥ γ (x) for some k, then we could add a positive constant
to γ (x) such that we get a new gauge that is greater than γα,k (x): γ˜ = γ + c with
c ∈ R>0 such that γα,k (x) ≤ γ˜ (x) for all x ∈ Kk . A partition that is γ -fine is then
also γ˜ -fine. So this γ˜ is also a gauge that satisfies the assumption in the statement
of this theorem. So we may assume that γα,k (x) ≤ γ (x) for all x ∈ Kk . Then we

30
 know that if Qk is γα,k -fine, then it is also γ -fine. Now let P ∗ := P̃ ∪ Q1 ∪ · · · ∪ Qm .
P ∗ is a tagged partition of [a, b]. If P ∗ is γ -fine, then
 Z b 
S(f, P ∗ ) −
 
f  ≤ .
 
a

Furthermore we have
S(f, P ∗ ) = S(f, P̃ ) + S(f, Q1 ) + · · · + S(f, Qm )
Z b Z Z Z Z
f= f + ··· + f+ f + ··· + f.
a J1 Js K1 Km

From this, it follows that

 Z Z   m Z b m Z


X X
 = [S(f, P ∗ ) −
  
S(f, P̃ ) − [ f + · · · + f ] S(f, Q k )] − [ f − f ]


  
J1 Js k=1 a k=1 K k

 
 Z b X m Z 
∗
≤ S(f, P ) − f− [S(f, Qk ) − f ]
 
 a k=1 Kk 
 Z b  X m  Z 
∗
   
≤ S(f, P ) −
 f +
 
 S(f, Q k ) − f 

a k=1 Kk
m
X α
≤+
k=1
m
α
=  + α.
=+m
m
 
∗
R R
Because α was arbitrary, we have S(f, P ) − [ J1 f + · · · + Js f ] ≤  as desired.
 

R xj
2. Let P̃ + be the pairs (tj , [xj−1 , xj ]) of P̃ such that f (tj )(xj − xj−1 ) − f ≥ 0 and
−
R xxjj−1
let P̃ be the pairs (tj , [xj−1 , xj ]) of P̃ such that f (tj )(xj − xj−1 ) − xj−1
f < 0. P̃ +
and P̃ − are again subpartitions of [a, b] which are γ -fine so we are going to apply

31
 the first part of this lemma to both P̃ + and P̃ − :
 Z xj  X Z xj
X 
f (tj )(xj − xj−1 ) − f = [f (tj )(xj − xj−1 ) − f]

+
 xj−1  + xj−1
P̃
P̃ 

X Z xj 
 
=  [f (tj )(xj − xj−1 ) − f ]
 P̃ + xj−1 
≤
 Z xj  Z xj
X  X
f (tj )(xj − xj−1 ) − f = − [f (tj )(xj − xj−1 ) − f]

−
 xj−1  − xj−1
P̃
 P̃ 
 Z xj 
X 
=  [f (tj )(xj − xj−1 ) − f ]
 P̃ − xj−1 
≤ .

Now we combine this and we get

s 
 Z xj  X  Z xj 
X
f (tj )(xj − xj−1 ) − f = f (tj )(xj − xj−1 ) − f
   
j=1
 xj−1   xj−1 
P̃ +
 Z xj 
X 
+ f (tj )(xj − xj−1 ) − f

−
 xj−1 
P̃
≤  +  = 2

as desired.

Now we can use the Saks-Henstock lemma to prove the monotone convergence theorem
[8].

Theorem 6.3 - Monotone convergence theorem. Let {fn } be a monotone sequence of

Henstock-Kurzweil integrable functions on [a, b] that converges pointwise to a limit function
Rb Rb Rb
f . If limn→∞ a fn exists, then f is Henstock-Kurzweil integrable and a f = limn→∞ a fn .
Rb
Proof. We suppose {fn } is increasing. Let  > 0 and let A = limn→∞ a
fn . Then there
exists an N ∈ N such that for all n ≥ N
Z b 
  
 fn − A ≤ .

a 3

32
Since fn is Henstock-Kurzweil integrable for each n, there exists a gauge γn on [a, b] for
each n such that  Z b 

S(fn , P ) −
 
fn  ≤

a 3 · 2n
if P is γn -fine. Without loss of generality, we suppose that γn ≥ γn+1 . Since {fn } converges
pointwise to f on [a, b], we choose for each x ∈ [a, b] an integer Mx ≥ N such that

|fn (x) − f (x)| ≤
3(b − a)
for n ≥ Mx . Now we define our gauge: γ(x) := γMx (x) and we let P = {(ti , [xi−1 , xi ]) : 1 ≤
i ≤ m} be a γ-fine tagged partition of [a, b]. Note that our γ is not a constant. Now we
divide the set of tagged subintervals of P into classes based on the length of subintervals.
Pm is the collection of γMtm -fine tagged partitions and let for each m − 1 ≥ i ≥ 1 Pi be the
collection of γMti -fine partitions of P − { m
S
P
j=i+1 j }. The set of Pi for 1 ≤ i ≤ m is disjoint
and the union of elements in this set is P . Let for each 1 ≤ i ≤ m, Ki be the collection of
intervals used in the collection of tagged intervals of Pi .
By the triangle inequality we get:
   
 X m  X m Xm Z 
|S(f, P ) − A| ≤ S(f, P ) − S(fMti , Pi ) +  S(fMti , Pi ) − fMti 
   
i=1 Ki
   
i=1 i=1
 
Xm Z 
+ fMti − A . (1)
 

i=1Ki 

We are now going to look at those three terms seperately.

 that {f n } converges
We can use the fact

pointwise to f to estimate the first term. Mti ≥ N
by definition, so fMti − f ≤ 3(b−a) . Using this, we get:
 
   
 m
X  X m 
S(f, P ) − S(fMti , Pi ) =  (f (ti ) − fMti (ti ))(xi − xi−1 )
   
   
i=i i=1
m
X  
≤ f (ti ) − fMt (ti ) (xi − xi−1 )
i
i=1
m
X 
≤ (xi − xi−1 )
i=1
3(b − a)
 
= (b − a) = .
3(b − a) 3
Now we are going to look at the second term of (1). Here we are going to use Henstock’s
lemma. The collection of intervals PMti is by definition γMti -fine for each 1 ≤ i ≤ m.
Because for each n fn is Henstock-Kurzweil integrable, fMti is Henstock Kurzweil integrable
and thus  Z b 

S(fMt , P ) −
 
fMti  ≤
 i
a 3 · 2Mti

33
if P is a γMti -fine partition of [a, b]. Using Henstock’s lemma, we get:
 Z 

S(fMt , Pi ) −

≤ 
f M
 i
Ki
t i  3 · 2Mti

for each 1 ≤ i ≤ m. Now we use this for the second term:

 
Xm m Z
X  X m  Z 
 
S(fMti , Pi ) − fMti  ≤ S(fMt , Pi ) − f
 
M
 t

 i i

i=1 Ki
i=1

i=1 Ki
m
X  
≤ Mt i
≤ .
i=1
3·2 3

Now we are going to look at the last term of (1). We know that {fn } is an increasing
sequence of functions. So fMti ≥ fN because Mti ≥ N . Because {fn } converges pointwise
Rb
to f from below, we have that { a fn } converges to A from below and we have
Z  Z 
   

 fMti − A ≤ 
  fN − A
Ki Ki

for each 1 ≤ i ≤ m. Therefore we have

 m Z   m Z 
X  X 
f − A ≤ f − A
   
 Mti   N 
i=1 Ki i=1 Ki
   
Z b 
 
=  fN − A
a

≤ .
3
Now we are combining the three terms again and we get:

     
 Xm  X m Xm Z  X m Z 
|S(f, P ) − A| ≤ S(f, P ) − S(fMti , Pi ) +  S(fMti , Pi ) − fMti  +  fMti − A
     
i=1 Ki i=1 Ki
     
i=1 i=1
  
≤ + + = .
3 3 3
Because
Rb our  was Rarbitrary, we conclude that f is Henstock-Kurzweil integrable with
b
a
f = A = limn→∞ a fn .

Of course, a similar result holds when the sequence {fn } is decreasing. The proof is
similar, and hence omitted.

34
The example in the beginning of this section shows that the monotone convergence theorem
does not hold for Riemann integrability. Recall the sequence of functions defined by
(
1 if x ∈ {r1 , r2 , · · · , rn }
hn (x) =
0 if x 6∈ {r1 , r2 , · · · , rn }

on the interval [0, 1]. For this sequence of functions it is clear that hn ≤ hn+1 , but as we
saw the limit function is Dirichlet’s function, which is not Riemann integrable.
The dominated convergence theorem provides an other set of conditions that also guaran-
tees the pointwise limit f of a sequence {fn } to be Henstock-Kurzweil integrable. Again
a similar theorem for the Riemann integral does not exist. We do not prove this theorem
here. For those who would like to see a proof we refer to Gordon’s book The Integrals of
Lebesgue, Denjoy, Perron, and Henstock [4].
Theorem 6.4 - Dominated convergence theorem. Suppose {fk } is a sequence of
Henstock-Kurzweil integrable functions on [a, b] that converges pointwise to f (x). If g(x)
and h(x) are Henstock-Kurzweil integrable functions on [a, b] such that g(x) ≤ fk (x) ≤ h(x)
Rb Rb
for all k, then f (x) is Henstock-Kurzweil integrable with a f = limk→∞ a fk .

To show that the dominated convergence theorem does not hold for Riemann integrable
functions, we could again take a look at the sequence of functions hn (x). These functions
do only take the values 0 and 1. So lets take r(x) = c with c ∈ R and c ≤ 0 and s(x) = d
with d ∈ R and d ≥ 1. Then we have that r(x) ≤ hn (x) ≤ s(x) for all n and we know that
r(x) and s(x) are Riemann integrable. But still Dirichlet’s function, the limit function of
hn , is not Riemann integrable.

7 Conclusion and discussion

We have seen that making a small change in the definition of the Riemann integral re-
sulted in a more general integral: the Henstock-Kurzweil integral. We saw that using the
gauge γ instead of a constant δ led to certain benefits over the Riemann integral. First
we saw examples of functions that are Henstock-Kurzweil integrable, but not Riemann
integrable. So by using the Henstock-Kurzweil definition of integrals, we enlarged the
range of integrable functions. Next thing we saw is that not every derivative is Riemann
integrable. So in the fundamental theorem we have to include the extra condition that
f = F 0 is integrable. When we examined the fundamental theorem regarding Henstock-
Kurzweil integrals, we concluded that we do not need this extra condition; it turned out
that every derivative is Henstock-Kurzweil integrable. In the last section we saw that for
the Henstock-Kurzweil integral there exist some nice convergence theorems. For example
we examined the monotone convergence theorem and the dominated convergence theorem.
These theorems turned out to work for Henstock-Kurzweil integrals, but not for Riemann
integrals.

35
When we do take measure theory in account, we could also compare the Henstock-Kurzweil
integral with Lebesgue’s integral. Furthermore we could use the monotone convergence
theorem and the dominated convergence theorem for Lebesgue’s integral to prove the
monotone convergence theorem and the dominated convergence theorem for the Henstock-
Kurzweil integral. This is the way R.A. Gordon proved the convergence theorems in his
book ”The integrals of Lebesgue, Denjoy, Perron, and Henstock”. He also shows equiva-
lence between various integrals. For simplicity’s sake we did not take the measure theory in
account. We focused on the easy and intuitive approach of the Henstock-Kurzweil integral
and its similarity with the Riemann integral. We wanted to focus on the ,γ-definition of the
Henstock-Kurzweil integral and investigate the advantages it has above the ,δ-definition
of the Riemann integral.

8 Acknowledgements
I would like to thank my supervisor dr. A.E. Sterk for helping me during writing this
thesis. I appreciate his comprehensive comments and his good guidance throughout the
whole process very much.

References
[1] Abbott, S. (2001). Understanding Analysis. Springer.

[2] Bartle, R. G. (1996). Return to the Riemann Integral. American Mathematical

Monthly, October.

[3] Bartle, R.G. (2000). Modern theory of Integration. Graduate studies in Mathematics,
vol 32, American Mathematical Society.

[4] Gordon, R. A. (1994). The Integrals of Lebesgue, Denjoy, Perron, and Henstock. Amer-
ican Mathematical Society.

[5] Herschlag, G. (2006). A Brief Introduction to Gauge Integration. Duke University.

[6] Lee, T. Y. (2011). Henstock-Kurzweil Integration on Euclidean Spaces. World Scientific

Publishing Co. Pte. Ltd.

[7] McInnis, E. O. (2002). Gauge Integration. Thesis, Naval Postgraduate School, Moterey
California.

[8] Wells, J. (2011). Generalizations of the Riemann Integral: An Investigation of the

Henstock Integral. Senior Project University of Oregon.

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