Chapter 1

Review of the Riemann Integral

This chapter provides a quick review of the basic properties of the Rieman integral.

1.0 Integrals and Riemann Sums

Definition 1.0.1. Let [a, b] be a finite, closed interval. A partition P of [a, b] is a finite subset of [a, b] of
the form
P = {xi : a = x0 < x1 < · · · < xn = b}.

Definition 1.0.2. For a partition P of [a, b] having n elements,

1. define ∆xi := xi − xi−1 , and
2. define the norm of P, denoted as kPk, by
kPk := max{∆xi : i = 1, 2, . . . , n}.

Example 1.0.3. For any n ∈ N we can construct the n-regular partition Pn of [a, b] by subdividing [a, b] into
n identical parts with the length of each subinterval being b−a b−a
n . I.e., ∆xi = n for each i, and kPk = n .
b−a

Note that
b−a
x1 = a+ ,
n
b−a
x2 = a+2· ,
n
..
.
b−a
xi = a+i· ,
n
..
.
b−a
xn = a+n· = b.
n

Assume that f (x) is bounded on [a, b]. Let P be a partition on [a, b]. Let
Mi = sup{f (x) : x ∈ [xi−1 , xi ]},
and let
mi = inf{f (x) : x ∈ [xi−1 , xi ]}.
Then mi ≤ f (x) ≤ Mi for all x ∈ [xi−1 , xi ].

2
Definition 1.0.4. Given f (x), bounded on [a, b], and a partition P of [a, b], we define the upper Riemann
sum of f (x) with respect to P by
n
X
U(f, P) := Uba (f, P) = Mi · ∆xi ,
i=1

and the lower Riemann sum of f (x) with respect to P by

n
X
L(f, P) := Lba (f, P) = mi · ∆xi ,
i=1

where Mi and mi are defined as above. Finally, for each i, choose ci ∈ [xi−1 , xi ]; a Riemann sum for f (x)
on [a, b] with respect to P is defined by
n
X
Sba (f, P) = f (ci )∆xi .
i=1

The bounds of summation a and b from definition 1.0.4 are usually omitted.

Remark 1.0.5. Since mi ≤ f (ci ) ≤ Mi and ∆xi > 0, we can conclude that

Lba (f, P) ≤ Sba (f, P) ≤ Uba (f, P).

Definition 1.0.6. Given a partition P, we say that a partition Q is a refinement of P if and only if P ⊆ Q.
We also say that Q refines P or P is refined by Q.

Theorem 1.0.7. Let f (x) be bounded on [a, b]. Let P, Q be partitions on [a, b] with Q a refinement of P.
Then
L(f, P) ≤ L(f, Q) ≤ U(f, Q) ≤ U(f, P).
Proof. Assume that Q = P ∪ {y0 } for some y0 ∈ [a, b] \ P. Hence Q = {xi , y0 : a = x0 < x1 < · · · < xi−1 <
y0 < xi < · · · < xn = b} and P = {xi : a = x0 < x1 < · · · < xn = b}. Let

Mj = sup{f (x) : x ∈ [xj−1 , xj ]},

mi = inf{f (x) : x ∈ [xj−1 , xj ]}.

Also let
Mi,1 = sup{f (x) : x ∈ [xi−1 , y0 ]},
mi,1 = inf{f (x) : x ∈ [xi−1 , y0 ]},
Mi,2 = sup{f (x) : x ∈ [y0 , xi ]},
mi,2 = inf{f (x) : x ∈ [y0 , xi ]}.

Note that since f ([xi−1 , xi ]) ⊇ f ([xi−1 , y0 ]) and f ([xi−1 , xi ]) ⊇ f ([y0 , xi ]), we have that Mi,1 ≤ Mi and

3
Mi,2 ≤ Mi . Similarly, mi,1 ≥ mi and mi,2 ≥ mi . Now
n
X
U(f, P) = Mj · ∆xj
j=1
Xn
= +Mj · ∆xj + Mi · ∆xi
j=1
j6=i
n
X
= +Mj · ∆xj + Mi (y0 − xi−1 ) + Mi (xi − y0 )
j=1
j6=i
n
X
≥ +Mj · ∆xj + Mi,1 (y0 − xi−1 ) + Mi,2 (xi − y0 )
j=1
j6=i

= U(f, Q).

Similarly,
n
X
L(f, P) = mj · ∆xj
j=1
Xn
= +mj · ∆xj + mi · ∆xi
j=1
j6=i
n
X
= +mj · ∆xj + mi (y0 − xi−1 ) + mi (xi − y0 )
j=1
j6=i
n
X
≤ +mj · ∆xj + mi,1 (y0 − xi−1 ) + mi,2 (xi − y0 )
j=1
j6=i

= L(f, Q).

Due to remark 1.0.5, we conclude that

L(f, P) ≤ L(f, Q) ≤ U(f, Q) ≤ U(f, P).

We can use induction on the number of points in Q \ P to establish the theorem.

Corollary 1.0.8. If P and Q are partitions of f (x) on [a, b], then L(f, P) ≤ U(f, Q).
Proof. Let T = P ∪ Q. Then T refines both P and Q. Hence L(f, P) ≤ L(f, T ) ≤ U(f, T ) ≤ U(f, Q), as
desired.

Definition 1.0.9. Let f (x) be bounded on [a, b]. The upper Riemann integral for f (x) over [a, b] is
Z b
f (x) dx = inf{U(f, P) : P a partition of [a, b]},
a

and the lower Riemann integral for f (x) over [a, b] is

Z b
f (x) dx = sup{L(f, P) : P a partition of [a, b]},
a

4
Observation.
Z b Z b
f (x) dx ≥ f (x) dx.
a a

1.1 Riemann Integrable Functions

Definition 1.1.1. We say that f (x) is Riemann integrable on [a, b] if
Z b Z b
f (x) dx = f (x) dx,
a a

in which case we denote this common value by

Z b
f (x) dx.
a
R
In definitions 1.0.9 and 1.1.1, we encountered new notations: the is the integral sign, a and b are
endpoints of integration, f (x) is the integrand, and dx refers to the variable of integration (also called the
dummy variable)—in this case it is x.

Example 1.1.2. Let (

1 if x ∈ [0, 1] ∩ Q,
f (x) =
−1 if x ∈ [0, 1] \ Q.
If P = {xi : 0 = x0 < x1 < · · · < xn = 1}, then let

Mi = sup{f (x) : x ∈ [xi−1 , xi ]},

mi = inf{f (x) : x ∈ [xi−1 , xi ]}.

We have that
n
X n
X
U(f, P) = Mi · ∆xi = ∆xi = 1, and
i=1 i=1
Xn Xn
L(f, P) = mi · ∆xi = −∆xi = −1.
i=1 i=1

Hence
Z 1 Z 1
f (x) dx = 1 6= −1 = f (x) dx,
0 0

and hence this function is not Riemann integrable on [0, 1].

Observation. f (x) in the above example is discontinuous everywhere on [a, b].

Theorem 1.1.4. Let f (x) be bounded on [a, b]. Then f (x) is Riemann integrable on [a, b] if and only if for
every  > 0 there exists a partition P of [a, b] such that U(f, P) − L(f, P) < .
Proof. Assume that f (x) is Riemann integrable on [a, b]. I.e.,
Z b Z b
f (x) dx = f (x) dx.
a a

5
 Rb
Let  > 0. Since a
f (x) dx = inf{U(f, P) : P is a partition}, there exists a partition P1 such that
Z b Z b

f (x) dx ≤ U(f, P1 ) < f (x) dx + .
a a 2
Rb
Similarly, since a
f (x) dx = sup{L(f, P) : P is a partition}, there exists a partition P2 such that
Z b Z b

f (x) dx − < L(f, P2 ) ≤ f (x) dx.
a 2 a

Let Q = P1 ∪ P2 . Then
Z b Z b
 
f (x) dx − = f (x) dx −
a 2 a 2
< L(f, P2 )
≤ L(f, Q) (by theorem 1.0.7)
≤ U(f, Q)
≤ U(f, P1 ) (by theorem 1.0.7)
Z b Z b
 
< f (x) dx + = f (x) dx + .
a 2 a 2

This implies that

U(f, Q) − L(f, Q) < .
To prove the converse, assume that for each  > 0 there exists a partition P of [a, b] such that

U(f, P) − L(f, P) < .

However, by definition 1.0.9, we have that

Z b Z b
L(f, P) ≤ f (x) dx ≤ f (x) dx ≤ U(f, P),
a a

and hence
Z b Z b
0≤ f (x) dx − f (x) dx < .
a a

Since  is arbitrary, we obtain

Z b Z b
f (x) dx = f (x) dx;
a a

therefore f (x) is Riemann integrable on [a, b], as required.

Example 1.1.5. Let f (x) = x2 . Let Pn be the n-regular partition of [0, 1]. Then
n n
X X i2 1
U10 (f, Pn ) = f (xi )∆xi = ·
i=1 i=1
n2 n

and
n n
X X (i − 1)2 1
L10 (f, Pn ) = f (xi−1 )∆xi = · .
i=1 i=1
n2 n

6
Then
n2 1 02 1
   
U(f, Pn ) − L(f, Pn ) = · − ·
n2 n n2 n
1
= .
n
This shows that for all  > 0, we can find a partition P such that U(f, P) − L(f, P) <  (simply select a
large enough n by the Archimedean Principle and use the n-regular partition Pn ). Hence by theorem 1.1.4,
f (x) is Riemann integrable on [0, 1]. Later, we will be able to show that
Z 1
1
x2 dx = .
0 3

Recall the following definition.

Definition 1.1.6. We say that f (x) is uniformly continuous on an interval I if for every  > 0, there exists
a δ > 0 such that for all x, y ∈ I,

|x − y| < δ implies |f (x) − f (y)| < .

Also recall the following theorem.

Theorem 1.1.7 [Sequential Characterization of Uniform Continuity]. A function f (x) is uni-

formly continuous on an interval I if and only if whenever {xn }, {yn } are sequences in I,

lim (xn − yn ) = 0 implies lim (f (xn ) − f (yn )) = 0.

n→∞ n→∞

Example 1.1.8. Let I = R and f (x) = x2 . Take {xn } = n + n1 , {yn } = {n}. Then limn→∞ (xn − yn ) =


limn→∞ n1 = 0, but
" 2 #
1 2
lim (f (xn ) − f (yn )) = lim n+ −n
n→∞ n→∞ n
 
1
= lim 2 + 2
n→∞ n
= 2 6= 0.

Hence f (x) = x2 is not uniformly continuous on R.

One should already be familiar with the following theorem.

Theorem 1.1.9. If f (x) is continuous on [a, b], then f (x) is uniformly continuous on [a, b].
Proof. Assume that f (x) is continuous on [a, b] but not uniformly continuous on [a, b]. Then by theorem
1.1.7, there exists sequences {xn } and {yn } with limn→∞ (xn − yn ) = 0 but limn→∞ (f (xn ) − f (yn )) 6= 0.
(Note that this limit may not even exist.) By choosing a subsequence if necessary, we can assume without
loss of generality that there exists an 0 > 0 such that

(1.1) |(f (xn ) − f (yn )) − 0| = |f (xn ) − f (yn )| ≥ 0

for all n ∈ N.

7
 Since {xn } ⊂ [a, b], by the Bolzano-Weierstrass Theorem {xn } has a subsequence {xnk } with limk→∞ xnk =
x0 ∈ [a, b]. Note that limk→∞ (xnk − ynk ) = 0, hence limk→∞ ynk = x0 also. By the sequential characteriza-
tion of continuity, we have

lim f (xnk ) = f (x0 ),

k→∞
lim f (ynk ) = f (x0 ).
k→∞

Therefore, we can select a K ∈ N with

0
|f (xnk ) − f (x0 )| < and
2
0
|f (ynk ) − f (x0 )| <
2
for all k ≥ K. Hence we have, for all k ≥ K,

0 ≤ |f (xnk ) − f (ynk )| ≤ |f (xnk ) − f (x0 )| + |f (ynk ) − f (x0 )|

0 0
< +
2 2
= 0 ,

directly contradicting equation (1.1). Hence f (x) is uniformly continuous on [a, b].

Theorem 1.1.10 [Integrability Theorem for Continuous Functions]. If f (x) is continuous on

[a, b], then f (x) is Riemann integrable on [a, b].
Proof. Let  > 0. Since f (x) is continuous on [a, b], f (x) is also uniformly continous on [a, b] by theorem

1.1.9 above. We can find a δ > 0 such that if |x − y| < δ, then |f (x) − f (y)| < b−a . Let P be a partition of
[a, b] with kPk = max{∆xi } < δ. For example, we can choose the n-regular partition of [a, b] with n large
enough (chosen by the Archimedean Principle) so that b−a n = kPn k < δ. After we have chosen P, let

Mi = sup{f (x) : x ∈ [xi−1 , xi ]},

mi = inf{f (x) : x ∈ [xi−1 , xi ]}.

By the extreme value theorem, there exists ci , di ∈ [xi−1 , xi ] such that f (ci ) = mi and f (di ) = Mi ; note that

Mi − mi = |Mi − mi | = |f (di ) − f (ci )|. Since |ci − di | < ∆xi < δ, we have that |f (di ) − f (ci )| < b−a . This
shows that
n
X n
X
U(f, P) − L(f, P) = Mi · ∆xi − mi · ∆xi
i=1 i=1
Xn
= (Mi − mi )∆xi
i=1
n
X 
< · ∆xi
i=1
b−a
n
 X
= ∆xi
b − a i=1

= · (b − a)
b−a
= .

Hence f (x) is Riemann integrable by theorem 1.1.4.

8
Remark 1.1.11. Assume that f (x) is continuous on [a, b]. For each n, let Pn be the n-regular partition.
Then if S(f, Pn ) is any Riemann sum associated with Pn , we have
Z b
f (x) dx = lim S(f, Pn ).
a n→∞

b−a
Proof. Given  > 0, we can find an N large enough so that if n ≥ N , then n < δ as defined in theorem
1.1.10 above. Hence
U(f, Pn ) − L(f, Pn ) < ,
via a similar argument made in theorem 1.1.10. But U(f, Pn ) ≥ S(f, Pn ) ≥ L(f, Pn ) and U(f, Pn ) ≥
Rb
a
f (x) dx ≥ L(f, Pn ). This implies that
Z 
 b 
f (x) dx − S(f, Pn ) < 
 

 a 
Rb
and so limn→∞ S(f, Pn ) = a
f (x) dx, as remarked.
Note that the above remark shows that if f (x) is continuous, we have
b n    
b−a b−a
Z X
f (x) dx = lim f a+i· .
a n→∞
i=1
n n

Definition 1.1.12. Given a partition P = {xi : a = x0 < x1 < · · · < xn = b}, define the right-hand
Riemann sum, SR , by
Xn
SR := f (xi ) · ∆xi ;
i=1

define the left-hand Riemann sum, SL , by

n
X
SL := f (xi−1 ) · ∆xi ;
i=1

define the midpoint Riemann sum, SM , by

n  
X xi−1 + xi
SM := f · ∆xi .
i=1
2

Theorem 1.1.13. Assume that f (x) is Riemann integrable on [a, b]. Given  > 0, there exists δ > 0 such
that if P is a partition of [a, b] with kPk < δ, then
 Z b 
 
S(f, P) − f (x) dx < 
 
 a 

for any Riemann sum S(f, P).

Proof. Since f (x) is Riemann integrable, we can find a partition P1 of [a, b] with U(f, P1 ) − L(f, P1 ) < 2 .
In particular, for any Riemann sum S(f, P1 ), we have U(f, P1 ) ≥ S(f, P1 ) ≥ L(f, P1 ) and U(f, P1 ) ≥
Rb
a
f (x) dx ≥ L(f, P1 ). Suppose P1 = {xi : a = x0 < x1 < · · · < xn = b}. Then let

M = sup{f (x) : x ∈ [a, b]},

m = inf{f (x) : x ∈ [a, b]}.

9
 If M − m = 0, then f (x) is constant on [a, b], so say f (x) = c for all x ∈ [a, b]. In this case U(f, P) =
c(b − a) = L(f, P) for any partition P. Hence any δ > 0 would satisfy the theorem and we are done. So
assume M > m.
Let δ < 2n(M −m) . Let P = {yi : a = y0 < y1 < · · · < yj < · · · < yk = b} be any partition of [a, b] with
kPk < δ. Let
T = {j : j ∈ {1, 2, . . . , k}, and [yj−1 , yj ] ⊆ [xi−1 , xi ] for some i}.
Also, let

Mj = sup{f (x) : x ∈ [yj−1 , yj ]},

mj = inf{f (x) : x ∈ [yj−1 , yj ]}.

Then we have that

k
X k
X
U(f, P) − L(f, P) = Mj · ∆yj − mj · ∆yj
j=1 j=1
k
X
= (Mj − mj )∆yj
j=1
X X
= (Mj − mj )∆yj + (Mj − mj )∆yj .
j∈T j∈{1,2,...,k}\T

Note that
X
(Mj − mj )∆yj ≤ U(f, P1 ∪ P) − L(f, P1 ∪ P)
j∈T
≤ U(f, P1 ) − L(f, P1 )

< .
2
Observe that {1, 2, . . . , k} \ T has at most n elements (since for each j 6∈ T, we have a unique i such that
yj−1 < xi−1 < yj < xi ; conversely for each such i there exists a unique j 6∈ T—but there are only n points
in P1 ). Hence for each j ∈ {0, 1, . . . , k} \ T, we have

(Mj − mj )∆yj ≤ (M − m) · kPk


< (M − m) ·
2n(M − m)

= .
2n
This shows that
X X 
(Mj − mj )∆yj <
2n
j∈{1,2,...,k}\T j∈{1,2,...,k}\T

≤ ·n
2n

= .
2
Hence, if kPk < δ, U(f, P) − L(f, P) < 2 + 2 = ; therefore, if S(f, P) is any Riemann sum, then
 Z b 
 
S(f, P) − f (x) dx < ,
 
 a 

as required.

10
 This thoerem is a generalization of remark 1.1.11. In particular, this theorem provides an easy, alternate
proof of remark 1.1.11. Here we state the remark again as a corollary.

Corollary 1.1.14. If f (x) is Riemann integrable on [a, b], then

b n
b−a
Z X
f (x) dx = lim S(f, Pn ) = lim f (ci ) · ,
a n→∞ n→∞
i=1
n

where Pn is the n-regular partition of [a, b] and ci ∈ [xi−1 , xi ]. ( S(f, Pn ) is any Riemann sum.)
1
Proof. Let  > 0. By the above theorem, we can find δ > 0 so that if kPn k = n < δ,
 Z b 
 
S(f, Pn ) − f (x) dx < 
 
 a 

for any Riemann sum S(f, Pn ). The result follows by choosing an N (using the Archimedean Principle) so
that n1 ≤ N1 < δ for all n ≥ N .
In general, we write
Z b
f (x) dx = lim S(f, P).
a kPk→0

Theorem 1.1.15. Let f (x) be monotonic on [a, b]. Then f (x) is Riemann integrable on [a, b].

Proof. Let Pn be the n-regular partition. Assume, without loss of generality, that f (x) is nondecreasing on
[a, b]. Then
n
X b−a
U(f, Pn ) = SR (f, Pn ) = f (xi ) · , and
i=1
n
n
X b−a
L(f, Pn ) = SL (f, Pn ) = f (xi−1 ) · .
i=1
n

So
n n−1
X b−a X b−a
U(f, Pn ) − L(f, Pn ) = f (xi ) · − f (xi ) ·
i=1
n i=0
n
b−a
= [(f (x1 ) + · · · + f (xn ))
n
−(f (x0 ) + · · · + f (xn−1 ))]
b−a
= (f (xn ) − f (x0 ))
n
b−a
= (f (b) − f (a)).
n
b−a
Since limn→∞ n (f (b) − f (a)) = 0, f (x) is Riemann integrable on [a, b] by theorem 1.1.4.
Question: Assume that f (x) is continuous on [a, b] except at c. (Note that f (x) is bounded on [a, b].) Is
f (x) still Riemann integrable on [a, b]?

Theorem 1.1.17. Assume that f (x) is continuous on [a, b] except at c ∈ [a, b]. Then f (x) is Riemann
integrable on [a, b].

11
Proof. Let P = {xi : a = x0 < x1 < · · · < xn = b} be a partition of [a, b] so that c ∈ (xi0 −1 , xi0 ) for some
i0 . Let  > 0. Let

M = sup{f (x) : x ∈ [a, b]},

m = inf{f (x) : x ∈ [a, b]},
Mi = sup{f (x) : x ∈ [xi−1 , xi ]},
mi = inf{f (x) : x ∈ [xi−1 , xi ]}.

We can choose P so that ∆xi0 < 3(M−m) . Then (Mi0 −mi0 )∆xi0 ≤ (M −m)∆xi0 < (M −m) 3(M−m) = 3 .
Since f (x) is uniformly continuous on [a, xi0 −1 ], by refining as necessary, we can assume that if 0 ≤ i ≤ i0 ,
then Mi − mi < 3(xi −a) . We now have
0

0 −1
iX 0 −1
iX i0 −1
  X ∆xi 
(Mi − mi )∆xi < ∆xi = = .
i=1 i=1
3(xi0 −1 − a) 3 i=1 xi0 −1 − a 3

A similar argument shows, by refining if necessary, that

n
X 
(Mi − mi )∆xi < .
i=i0 +1
3

Then
n
X
U(f, P) − L(f, P) = (Mi − mi )∆xi
i=1
0 −1
iX
= (Mi − mi )∆xi + (Mi0 − mi0 )∆xi0
i=1
n
X
+ (Mi − mi )∆xi
i=i0 +1
  
< + +
3 3 3
= .

This shows that f (x) is Riemann integrable on [a, b] by theorem 1.1.4.

Observation. Observe the following facts:

1. If f (x) is bounded on [a, b] and continuous except at possibly at finitely many points, then f (x) is
Riemann integrable on [a, b].
2. If f (x) is Rieman integrable on [a, b] and g(x) = f (x) except at finitely many points, then g(x) is
Riemann integrable and
Z b Z b
f (x) dx = g(x) dx.
a a

1.2 Flaws in the Riemann Integral

The following problem will be a key to our motivation for the construction of countably additive measures.

12
Problem 1.2.1. Assume that {fn } is a sequence of Riemann integrable functions with {fn } converging
pointwise on [a, b] to a function f0 . Is f0 Riemann integrable, and if so is
Z b Z b
f0 (x) dx = lim fn (x) dx?
a n→∞ a

Unfortunately, as we will see below, the answer to both questions above is negative.

T
Example 1.2.2. 1) Let [0, 1] Q = {r1 , r2 , · · · , rn , · · · } and
(
0 if x ∈ [0, 1] \ {r1 , r2 , · · · , rn−1 }
fn (x) =
1 if x ∈ {r1 , r2 , · · · , rn−1 }.

Then each fn (x) is Riemann integrable. Moreover, fn (x) → f0 (x) pointwise, where
(
0 if x ∈ [0, 1] \ Q
f0 (x) = T
1 if x ∈ [0, 1] Q.

and f0 (x) is not Riemann integrable.

2) Let 
2 1
4n x
 if x ∈ [0, 2n ]
1 1 1
fn (x) = 2n − 4n2 (x − 2n ) if x ∈ ( 2n , n ]
if x ∈ ( n1 , 1]

0


14

12

¦5 (x)
10

R1
The diagram above represents the graph of f5 (x). It is easy to see geometrically that 0 f5 (t) dt = 1
R1
since the integral represents the area of a triangle with base 0.2 and height 10. Generically, 0 fn (t) dt =
1 since the integral represents the area of a triangle with base n1 and height 2n. From this it follows
that fn (x) → f0 (x) = 0 for each x ∈ [0, 1], and
Z 1 Z 1
1 = lim fn (t) dt 6= lim fn (t) dt = 0.
n→∞ 0 0 n→∞

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1.3 A Vector-Valued Riemann Integral
In this section we will see how we may define a vector-valued version of the Riemann integral. In doing so
we will assume that B is a Banach space and that F : [a, b] → B is a continuous function.

Definition 1.3.1. Let B be a Banach space. Let F : [a, b] → B be continuous. Given a partition P = {a =
t0 < t1 < · · · < tn = b} of [0, b], by a Riemann sum we will mean a sum S(F, P ) of the form
n
X
S(F, P) = F (ci )(ti − ti−1 )
i=1

where ci ∈ [ti−1 , ti ].

Lemma 1.3.2. Assume that F : [a, b] → B is continuous. Let  > 0. Then there exists a δ > 0 such that if
P is any partion of [a, b] with kPk < δ and if P1 is a refinement of P, then for any Riemann sums S(F, P)
and S(F, P1 ) we have
k S(F, P) − S(F, P1 ) k< .
Proof. Given  > 0, since F is uniformly continuous, we can find a δ such that if | x − y |< δ, then

k F (x) − F (y) k< .
(b − a)
Assume that kPk = max{4ti } < δ. Let P1 be a refinement of P with each interval [ti−1 , ti ] being partitioned
into {ti−1 = si,0 < si,1 < · · · < si,ki = ti }. Let S(F, P1 ) be any Riemann sum associated with P1 .
Since we know that
ki
X
F (ci )(ti − ti−1 ) = F (ci )(si,j − si,j−1 ),
j=1

we have
n
X ki
n X
X
k S(F, P ) − S(F, P1 ) k = k F (ci )(ti − ti−1 ) − F (ci,j )(si,j − si,j−1 ) k
i=1 i=1 j=1

X ki
n X ki
n X
X
= k F (ci )(si,j − si,j−1 ) − F (ci,j )(si,j − si,j−1 ) k
i=1 j=1 i=1 j=1
ki
n X
X
≤ k F (ci ) − F (ci,j ) k (si,j − si,j−1 )
i=1 j=1
n X ki
 X
≤ · (si,j − si,j−1 )
b − a i=1 j=1
= .

Theorem 1.3.3. Assume that F : [a, b] → B is continuous. Let  > 0. Then there exists a δ > 0 such that
if P and Q are any two partitions of [a, b] with kPk < δ and kQk < δ , then for any Riemann sums s(F, P)
and s(F, Q) we have
k S(F, P) − S(F, Q) k< .
Proof. From the previous lemma, we know that we can choose a δ > 0 such that if P1 is any partion of [a, b]
with k P1 k< δ and if R is a refinement of P1 , then for any Riemann sums S(F, P1 ) and S(F, R) we have

k S(F, P1 ) − S(F, R) k< .
2

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 Next assume that P and Q are any two partitions of [a, b] with kPk < δ and kPk < δ. Let R = P ∪ Q
be a refinement of both P and Q, and let S(F, P) and S(F, Q) be Riemann sums for F associated with P
and Q respectively. Next let S(F, R) be any Riemann sums for F associated with R respectively. Then

k S(F, P) − S(F, Q) k ≤ k S(F, P) − S(F, R) k + k S(F, R) − S(F, Q) k

 
< +
2 2
= .

Corollary 1.3.4. Let F : [a, b] → B be continuous. If {Pk } is a sequence of partitions of [a, b] such that
lim k Pk k= 0, then for any choice of Riemann sums {S(F, Pk )} is Cauchy in B, and hence converges.
k→∞
Moreover, the limit is independent of both the choice of partitions and of the choice of Riemann sums.
Proof. Since lim k Pk k= 0, the previous theorem allows us to immediately deduce that {S(F, Pk )} is
k→∞
Cauchy in B.
Let {Pk } and {Qk } be two sequence of partitions of [a, b] such that

lim k Pk k= lim k Qk k= 0.
k→∞ k→∞

Let {S(F, Pk )} and {S(F, Qk )} be such that

lim {S(F, Pk )} = x0 ∈ B
k→∞

and
lim {S(F, Qk )} = y0 ∈ B.
k→∞

Then we create the sequence {P1 , Q1 , P2 , Q2 , P3 , Q3 , · · · } of partitions. It follows that the sequence

{S(F, P1 ), S(F, Q1 ), S(F, P2 ), S(F, Q2 ), · · · }

is also Cauchy in B. From this we can conclude that x0 = y0 and hence that the limit is in fact independent
of both the choice of partitions and of the choice of Riemann sums.

Definition 1.3.5. [Vector-valued Riemann Integral] Let F : [a, b] → B be continuous. We define the
B-valued Riemann integral of F (X) on [a, b] by
Z b
F (t) dt = lim S(F, P).
a kP k→0

where limkP k→0 S(F, P) is the unique limit obtained as in the Corollary above.

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