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Let $h $ be Riemann integrable on $[c,d]$.Let $a\in [c,d]$ and $g(x)=\int_a^x h(t)dt $. Suppose $f $ is Riemann integrable on $g([c,d])$ How do you show the integral $\int_c^df(g(x))h(x)dx$ exists and is equal to $\int_{g(c)}^{g(d)}f(x)dx $ ?

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    Can you post what you have tried for this? This type of problem is reasonably standard and, as far as I can tell, should be provable directly from the definition of a Riemann-Stieltjes integral (the former quantity being $\int_c^d f(g(x))dg(x)$). As a hint, the fact that $h(t)$ is properly Riemann integrable on $[c,d]$ shows you that $g(x)$ is a function of bounded variation.2012-02-22
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    Simply prove that $g'(x) = h(x)$, which has probably been proved in your book or class, and then this is the change of variables theorem. To prove the change of variables theorem, you could for instance use the chain rule to differentiate $F(g(x))$, where $F$ is a primitive of $f$.2012-02-22
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    @Pedro $h(x)$ is not given to be continuous, so that is only true $a.e.$.2012-02-22
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    thanks @Chris , I've forgoten something about iemann-Stieltjes integral.2012-02-22
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    @Chris, this problem is not as easy as your hint. I find a paper . http://www.jstor.org/pss/36147642012-02-23
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    I am very surprised to find that this result is so difficult, sorry. I didn't think it would require the Lebesgue characterization of Riemann integrable functions.2012-02-23

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