Comparison between Riemann-Stieltjes and Lebesgue-Stieltjes integration using discrete distribution functions

Integrating with respect to functions which are constant on intervals whose bounds are discontinuity points (of those functions) is frequent in many branches of Mathematics, specially in stochastic processes. For such functions and alike extension, a comparison between Riemann-Stieltjes and Lebesgue-Stieltjes integration and the integrals formulas leads to interesting facts for students (as complements of Measure Theory and Integrations) and for practitioners and and researchers. We undergone conditions of existence the Riemann-Stieltjes integrals related to that type of function and compare the results with what should be expected for Lebesgue-Stieltjes theory.

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