Let be bounded on and continuous on . For any positive error tolerance, isolate . Its contribution to the difference of upper Darboux sums and lower Darboux sums is at most . On , uniform continuity supplies a partition of an interval with arbitrarily small remaining oscillation sum. The Riemann integrability criterion then proves integrability, even when the values oscillate without a limit at the endpoint.
Brownian motion Created 2026-09-24 Updated 2026-10-14
Standard one-dimensional Brownian motion is a real-valued stochastic process on a probability space with three defining properties: almost surely; its sample paths are continuous almost surely; and its Brownian increments over any finite collection of disjoint time intervals are independent, with
Here denotes the normal distribution with expectation and variance . The alternative symbol denotes the same kind of stochastic process. Continuity is a simultaneous statement about an entire sample path, rather than a separate assertion at each fixed time. Relative to its natural Brownian filtration, a future Brownian increment is independent of all observations up to its starting time.
The normalization gives , so the standard deviation of a Brownian increment over duration is . For , , and , the corresponding standard deviations are , , and . Time becoming one hundred times shorter makes typical displacement ten times smaller. Brownian scaling expresses this rule for the whole stochastic process, while the Brownian covariance kernel describes how positions at different times remain related despite independent increments.
For a concrete probability calculation, let be the cumulative distribution function of . At time four, has that normal distribution, hence
These numbers can be reproduced using the error function: . In particular, zero expectation does not mean small displacement: , but the same fixed interval contains only about of the probability at time four.
The probability density function of , for , is
Its partial derivatives satisfy
Thus the normal distribution spreads according to the heat equation. Starting at a fixed position replaces by . This is a useful bridge between individual random trajectories and the deterministic evolution of their probability density function: the same Brownian motion provides both descriptions.
Physical diffusion uses its own scale. For constant diffusion coefficient , the position model has variance , and its probability density function satisfies . For example, gives displacement variance after four seconds, hence standard deviation . Standard Brownian motion corresponds numerically to in chosen units; omitting the factor two changes the physical convention. Einstein's 1905 paper relates diffusion to the mean squared displacement in precisely this convention. [ref]
Continuity does not supply a smooth physical velocity. The difference quotient has normal distribution , so its standard deviation grows as : for the three durations above it is , , and . This calculation motivates the nowhere differentiability of Brownian motion, but it alone is not a proof of the simultaneous assertion at every time. The theorem says that, with probability one, no finite derivative exists anywhere along the sample path. A drawn polygon only displays a finite grid; its straight segments cannot establish this theorem. See Theorem 7.1.6 in Probability: Theory and Examples (fifth edition) by Rick Durrett.
For physical particles, Brownian motion is a model of position on suitable observation scales. It does not claim that microscopic velocity is a derivative of this idealized path. Einstein explicitly restricts his assumption of independent increments to intervals that are not too short. [ref]
Another way to measure the roughness is quadratic variation. On , divide time into equal intervals and form
Writing each Brownian increment as with independent standard normal random variables gives . Since and , the variance of is , and
This proves mean-square convergence to along uniform partitions. For and , the expectation is , the variance is , and the root mean square of the error is . For a general deterministic partition of an interval with lengths , the same calculation gives error variance , so shrinking the largest interval also suffices.
The resulting quadratic variation is , whereas the smooth function gives . This difference explains why the ordinary rules of calculus need the second-order correction in the Itô formula. In the figure, coarser sums reuse the same finest-grid Brownian increments; their individual values can oscillate with refinement even though the error tends to zero in mean-square convergence. Refining a fixed interpolating polygon forever would instead give zero quadratic variation, so the finite-grid illustration must not be confused with the limiting Brownian motion.
Historically, Brown's 1828 report describes microscopic observations made in 1827, starting with particles released from pollen and extending to inorganic materials; this challenged an explanation based solely on living matter. His observations and the later mathematical model are distinct contributions. [ref] Einstein's 1905 paper derived a quantitative connection between kinetic theory, diffusion, and displacement. [ref] Wiener's 1923 Differential-Space developed integration on spaces of paths, a foundation for Wiener measure; it also acknowledges earlier work and his own previous papers. These dates mark documented contributions rather than an assertion that each subject had a single discoverer. [ref]
Apply the midpoint quadrature rule on each of equal panels of a partition of an interval, with :
Each quadrature node is a panel midpoint and each quadrature weight is . For , put . Summing the panel quadrature errors gives
for some . Each panel contributes at most ; there are panels, explaining the composite midpoint rule error of order in big O notation. On a nonuniform partition of an interval with panel widths and largest width , the corresponding bound is .
For on , summing the sampled polynomial exactly yields
Doubling divides the absolute error by exactly four. For a general function, halving divides the displayed error bound by four, but the actual absolute error need not follow that ratio: cancellation can make it smaller or zero. Continuous functions still give convergence as the largest panel width tends to zero, by uniform continuity; without the bounded second derivative, the second-order rate is not guaranteed. Noise sensitivity of a quadrature rule explains a separate limitation when samples are inexact.
On an equal-panel partition of an interval, with , sum the trapezoidal rule over adjacent panels:
There are distinct quadrature nodes. Each interior sample belongs to two panels and therefore has quadrature weight , while each endpoint has quadrature weight . Equivalently, the composite trapezoidal rule integrates the piecewise linear function obtained by linear interpolation exactly.[ref]
For and , summing panel quadrature errors gives
for some . Thus panel quadrature errors of order accumulate to order , using big O notation.[ref] On a nonuniform partition of an interval with widths and largest width , the bound is .
For the polynomial on , direct summation yields
Both quadrature errors shrink by exactly four when doubles, with opposite signs. This exact relation belongs to this polynomial example; the trapezoidal rule is not always twice as inaccurate as the midpoint quadrature rule.
Figure 1.
Quadratic quadrature errors fall by four on refinement while a common sample bias persists
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The left plot uses exact polynomial sums; the right adds a common sample bias to the composite trapezoidal rule. That mathematical model converges to , showing why smaller panels alone do not ensure accuracy for noisy samples. It illustrates noise sensitivity of a quadrature rule, rather than measured data.
Definite integral 2026-10-14
A definite integral accumulates an integrand between specified endpoints, retaining the sign of each contribution. For a real-valued function on a finite real interval, a finite definite integral is a scalar; an indefinite integral describes a family of antiderivatives. The lower and upper limits of integration specify where accumulation starts and ends. The integration variable is a placeholder: .
This is useful whenever a varying rate must be converted into a total change. For motion along a straight line with continuous velocity and position satisfying , the fundamental theorem of calculus gives displacement, while accumulating speed gives the distance traveled from velocity:
Negative velocity reduces displacement while adding to the distance traveled from velocity. The physical dimension of a definite integral is the product of the integrand's physical dimension and the integration variable's physical dimension: here . An area on a rate graph need not be a spatial area.[ref]
As an explicitly synthetic motion model, let for , with . Using numerical values in seconds and metres, an antiderivative gives . The velocity changes sign at : the model first moves m in the negative direction, then m in the positive direction. Its displacement is m, and its distance traveled from velocity is m. The initial position fixes the constant of integration, but does not change either accumulated quantity.
Figure 1.
Synthetic variable velocity model with displacement 3 metres and distance traveled 5 metres over three seconds
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Orientation matters independently of whether the integrand is positive or negative. For a function integrable on the interval containing the endpoints, use the conventions
For the preceding velocity model, accumulation from seconds back to seconds gives m. Reversing the bounds of the speed integral gives m, which is an oriented integral, not a negative distance traveled from velocity; physical elapsed-time totals use the earlier endpoint first. The splitting rule holds even when is outside the interval between and , provided integrability holds on the interval containing all three endpoints.[ref]
Existence needs hypotheses. For a bounded function on with , a finite Riemann integral exists when every tagged Riemann sum approaches the same value as the largest cell width tends to zero:
The limit must be independent of both the partition of an interval and the tags. Merely making the number of cells large can leave a wide cell unresolved. On a finite closed interval, every continuous function, and every bounded function that is continuous except at finitely many points, is Riemann integrable.[ref] Boundedness alone is insufficient: the Dirichlet function on is on the rational numbers and on the irrational numbers. Tags can all be chosen rational or all irrational, giving Riemann sums of or at arbitrarily small cell widths.[ref]
For a finite signed Lebesgue integral, the condition is instead that be a measurable function for Lebesgue measure and . A measurable function for Lebesgue measure that is also a bounded function on a finite interval satisfies this condition since gives . The Dirichlet function therefore has Lebesgue integral zero: the rational numbers form a null set, so it equals zero Lebesgue almost everywhere. The Riemann integral and Lebesgue integral agree for the continuous functions used in the diagrams.[ref] An unbounded integrand or infinite endpoint requires further analysis, for example the limits defining an improper integral; the notation alone does not establish convergence.
For a càdlàg function, replace the last sampled value at by . Right continuity makes this change tend to zero. The corrected sum is bounded by the total variation of a function. Conversely every finite partition of an interval can be approximated by dyadic points from the right, retaining the endpoint . The triangle inequality bounds that partition's limiting sum by the dyadic sums. Taking the supremum proves convergence, including the value .
Let consist of numbers whose decimal digits all lie in a fixed set with digits. The allowed prefixes give closed decimal intervals of length covering , with no endpoints in . A partition of an interval at those endpoints gives an upper Darboux sum at most . Every cell contains a terminating decimal outside , so the lower Darboux sum is zero. Thus the indicator function is Riemann integrable with Riemann integral zero. Such sets illustrate how an uncountable set may have an integrable indicator function of zero integral.
Lebesgue integral Created 2026-09-29 Updated 2026-10-14
For a nonnegative measurable function on a measure space, define
The supremum may be infinite. A simple function assigns finitely many heights to measurable sets, so its integral is height times measure, summed over those pieces. This definition groups points by their values rather than requiring a partition into short intervals. See MIT lecture 11, Definition 108.
A real-valued function is Lebesgue integrable when . Its integral is , where is its positive part and . This finiteness requirement avoids subtracting two infinities. For functions taking values in the complex numbers, integrate the real part and imaginary part separately.
Consider the Dirichlet function on . It is a simple function, and
Its Riemann integral does not exist. For every partition of an interval , each nondegenerate contains both rational numbers and irrational numbers, by their respective density of the rational numbers and density of the irrational numbers. Thus its infimum there is and its supremum is . The lower Darboux sum is , whereas the upper Darboux sum is . Refinement never closes this gap. A finite scatterplot cannot represent this behavior: the assertion concerns every subinterval and every partition of an interval.
Another view builds the Lebesgue integral from horizontal layers. For any nonnegative measurable function, the layer cake representation states
Both sides may be infinite. The right side integrates the measure of a superlevel set against Lebesgue measure in the height variable . See Gautam Iyer's measure theory notes, Theorem 9.5.
For on with Lebesgue measure, the superlevel set at is , of Lebesgue measure ; for it is empty. Consequently
At height , the layer extends from to , a width of . The picture shows why the same area can be accumulated vertically or horizontally. In a probability space, the identical formula expresses the expected value of a nonnegative random variable through its exceedance probabilities.
Figure 1.
Integrating by horizontal layers and their widths
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A proof outline avoids extra assumptions on the measure space. For a nonnegative simple function with disjoint measurable sets , the superlevel set has measure . Integrating this finite sum gives . Next use approximation by nonnegative simple functions . For every , the superlevel sets increase to . Continuity from below of a measure and the monotone convergence theorem on the height variable give the formula for .
Lower Darboux sum 2026-09-29
For a bounded function and a partition of an interval , the lower Darboux sum multiplies the infimum of on each subinterval by its length and adds the results.
Numerical integration Created 2026-10-03 Updated 2026-10-14
Numerical integration approximates a definite integral using finitely many sampled function values. For an integrand on a finite interval , , a quadrature rule has the form
The quadrature nodes tell us where to evaluate ; the quadrature weights turn those values into an approximation to the accumulated signed area. The exact definite integral depends on the integrand throughout the interval, whereas the quadrature rule sees only these samples. Integrating a chosen interpolant exactly still generally approximates the original integrand's integral.[ref]
The fundamental theorem of calculus evaluates as when an antiderivative is available. Numerical integration is useful when no convenient antiderivative is known, or each evaluation of the integrand requires an expensive computation. The task then becomes choosing informative quadrature nodes and controlling the quadrature error with as few evaluations as possible. Fixed data also permit a quadrature rule, but refinement cannot supply new information between observations.[ref]
For an exact comparison, take the polynomial on . Its antiderivative gives . On a partition of an interval into equal panels, the composite midpoint quadrature rule uses midpoint samples, each with quadrature weight ; the composite trapezoidal rule uses endpoint samples, with outer quadrature weights and interior quadrature weights . The existing derivations under these two quadrature rules give
In particular, and already bracket ; two panels give and . The convex function explains the opposite signs. A midpoint rectangle can cross the curve within its panel, so its total signed area, rather than pointwise ordering, determines the underestimate.
Figure 1.
One and two panels for numerical integration of : midpoint and endpoint samples with their quadrature weights
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Define the signed approximation error as . In this example the absolute errors are and : doubling reduces each by exactly four. A plot with both axes on a logarithmic scale therefore has slope , expressing order two with respect to panel refinement. This is an exact calculation for this polynomial, including , rather than an observed rate extrapolated from a few computed answers.
Figure 2.
Exact absolute errors for midpoint and trapezoidal numerical integration of : slope and a factor-four reduction
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For a general integrand, the composite midpoint quadrature rule and composite trapezoidal rule give second-order quadrature error bounds when has two continuous derivatives on and a known bound on . These hypotheses describe behavior between samples. A formal error formula containing an unknown derivative is not a numerical accuracy certificate or a justified sample count. Finite samples do not certify quadrature accuracy makes the missing information explicit. Errors in the evaluations and roundoff error must also be considered; noise sensitivity of a quadrature rule treats the former.
More elaborate choices exploit other information: Gaussian quadrature obtains high polynomial exactness from carefully chosen quadrature nodes, and Simpson's rule uses a quadratic interpolant. Adaptive numerical integration compares approximations and concentrates samples where they disagree, often saving evaluations. Such a difference is an error estimate, not a certified bound without further assumptions: both approximations can miss the same feature.[ref]
A continuous adapted process is a local martingale if there are stopping times almost surely such that each stopped process is a martingale. In this definition is integrable. A continuous adapted process has finite variation if, almost surely, its paths have finite total variation of a function on each compact time interval:
The permitted fact that this total-variation process is continuous and adapted makes its level-hitting times stopping times.
Suppose , and put . Define
These times increase to infinity almost surely. The optional stopping theorem applied to the localized martingale shows that is a martingale; it is also bounded in absolute value by , with total variation at most . Fix and write . For a deterministic partition of an interval , orthogonality of square-integrable martingale increments gives
Pathwise the sum on the right is bounded by . For partitions with mesh tending to zero, continuity makes this converge to zero. It is bounded by , so dominated convergence gives . First use rational , then continuity, to obtain almost surely. Letting proves
This proves continuous finite-variation local martingale is constant without assuming integrability of the unstopped total variation. Continuity matters: compensated jump martingales can have finite variation without being constant.
For a bounded function, a partition of an interval is . Put and . Its lower Darboux sum and upper Darboux sum are
The lower Darboux integral is and the upper Darboux integral is . Riemann integrability means that these two real numbers coincide, and their common value is the Riemann integral.
Equivalently, the Riemann integrability criterion says that for every some partition satisfies . To see equivalence, all lower sums are at most all upper sums: refine any two partitions to their common refinement and use Darboux sum refinement monotonicity. Thus a small gap forces the difference of the two integrals below . Conversely, if both integrals equal , choose a lower sum above and an upper sum below ; their common refinement has gap below .
This also agrees with the tagged Riemann sum definition: there is such that every tagged sum on a partition of sufficiently small mesh is within any prescribed tolerance of . Each tagged sum lies between the two Darboux sums. From a partition with small gap, an arbitrary small-mesh partition differs from its refinement at only the cells crossing the finitely many original division points; boundedness makes their total contribution tend to zero. Conversely, on a fine partition tags approximating each cell supremum or infimum force both Darboux sums close to the same tagged-sum limit.
Now suppose is continuous on . It is bounded by the result of Question 11. It is also uniformly continuous: otherwise there are with but . The Bolzano-Weierstrass theorem gives a convergent subsequence of ; the corresponding have the same limit, contradicting continuity. Given , this uniform continuity gives such that points less than apart have function values less than apart. A partition of mesh below then satisfies
Hence every continuous function on the interval is Riemann integrable, with the required proof supplied by its oscillation estimates.
A Riemann integrable function on a closed interval is bounded and has equal upper and lower Darboux integrals. More explicitly, for a partition of an interval , define the Darboux sums
Then Riemann integrability means
and this common value is the Riemann integral. Equivalently, the Riemann integrability criterion requires that for every some partition of an interval satisfies . Indeed, the common partition refinement of two partitions increases each lower Darboux sum and decreases each upper Darboux sum, so equality of the two extremal values is equivalent to arbitrarily small gaps.
Let . If the result is immediate, so take . Given , choose and the finitely many intervals supplied by the hypothesis. On each , choose a partition of an interval whose Darboux sum gap is less than , using Riemann integrability there.
Combine all these partitions with and all interval endpoints to obtain a global partition of an interval . On the chosen intervals the gaps add to less than . The complementary intervals have total length
and on each the difference between the supremum and infimum is at most . Consequently
The Riemann integrability criterion proves is Riemann integrable on . Shared endpoints cause no problem: the Darboux sums use closed intervals, and the complementary interval estimate includes every endpoint value. This proves Riemann integrability from almost full interval coverage.
Let be the set where the indicator function equals one. Fix a positive integer . Each permitted length- decimal prefix gives the interval
There are such intervals, each of length , and they cover . Every point of is strictly inside the interval for its prefix, since its remaining tail lies between and . Thus none of the interval endpoints belongs to . The intervals are disjoint and separated: their distinct prefix integers cannot be consecutive because their final digits are only and .
The complement consists of finitely many closed intervals on which , of total length . Part (b) therefore already proves Riemann integrability, since this length tends to one.
To compute the Riemann integral directly, make a partition of an interval using and all the endpoints of the . On complementary cells the upper Darboux sum contribution is zero, and on the it is at most their total length. Moreover every nonempty cell contains a terminating decimal, which is not in : neither its terminating expansion with a zero tail nor its alternative expansion with a nine tail consists entirely of twos and sevens. Such decimals are dense, so every cell has infimum zero. Therefore
Letting gives the exact answer
This is an example of an indicator of a restricted-digit decimal set: infinitely many, indeed uncountably many, points can support an indicator function whose Riemann integral is zero.