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In mathematics, a Riemann sum is a certain kind of approximation of an integral by a finite sum. It is named after nineteenth century German mathematician Bernhard Riemann . One very common application is in numerical integration , i.e., approximating the area of functions or lines on a graph, where it is also known as the rectangle rule .
Loosely speaking, the Riemann integral is the limit of the Riemann sums of a function as the partitions get finer. If the limit exists then the function is said to be integrable (or more specifically Riemann-integrable). The Riemann sum can be made as close as desired to the Riemann integral by making the partition fine enough.
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A converging sequence of Riemann sums. The number in the upper left is the total area of the blue rectangles. They converge to the definite integral of the function. We are describing the area of a rectangle, with the width times the height, and we are adding the areas together.
A partition of an interval being used in a Riemann sum. The partition itself is shown in grey at the bottom, with the norm of the partition indicated in red. In mathematics, a partition of an interval [a, b] on the real line is a finite sequence x 0, x 1, x 2, …, x n of real numbers such that a = x 0 < x 1 < x 2 < … < x n = b.
A function F(x) is an h-antiderivative of f(x) if D h F(x) = f(x).The h-integral is denoted by ().If a and b differ by an integer multiple of h then the definite integral () is given by a Riemann sum of f(x) on the interval [a, b], partitioned into sub-intervals of equal width h.
To change this template's initial visibility, the |state= parameter may be used: {{Bernhard Riemann | state = collapsed}} will show the template collapsed, i.e. hidden apart from its title bar. {{Bernhard Riemann | state = expanded}} will show the template expanded, i.e. fully visible.
The Itô integral can be defined in a manner similar to the Riemann–Stieltjes integral, that is as a limit in probability of Riemann sums; such a limit does not necessarily exist pathwise. Suppose that B is a Wiener process (Brownian motion) and that H is a right-continuous ( càdlàg ), adapted and locally bounded process.