Kolmogorov integral

In mathematics, the Kolmogorov integral (or Kolmogoroff integral) is a generalized integral introduced by Kolmogoroff (1930) including the Lebesgue–Stieltjes integral, the Burkill integral, and the Hellinger integral as special cases.

References

Kolmogoroff, A. (1930), "Untersuchungen über den Integralbegriff", Mathematische Annalen (Springer Berlin / Heidelberg) 103 (1): 654–696, doi:10.1007/BF01455714, ISSN 0025-5831
Skvortsov, V. A. (2001), "k/k055720", in Hazewinkel, Michiel, Encyclopedia of Mathematics, Springer, ISBN 978-1-55608-010-4

Integrals

Numerical integration	Riemann integral Lebesgue integral Burkill integral Bochner integral Daniell integral Darboux integral Henstock–Kurzweil integral Haar integral Hellinger integral Khinchin integral Kolmogorov integral Lebesgue–Stieltjes integral Pettis integral Pfeffer integral Riemann–Stieltjes integral Regulated integral

Methods	Integration by parts Integration by substitution Inverse function integration Order of integration (calculus) trigonometric substitution Integration by partial fractions Integration by reduction formulae Integration using parametric derivatives Integration using Euler's formula Differentiation under the integral sign Contour integration

Improper Integrals	Improper integral Gaussian integral

Stochastic integrals	Itō integral Stratonovich integral Skorokhod integral

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