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Stochastic Limit TheoryAn Introduction for Econometricians$
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James Davidson

Print publication date: 1994

Print ISBN-13: 9780198774037

Published to Oxford Scholarship Online: November 2003

DOI: 10.1093/0198774036.001.0001

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(p.57) 4 Integration
Stochastic Limit Theory

James Davidson

Oxford University Press

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

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