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In the following I am working with the Henstock–Kurzweil integral. I would like to prove the following:

Given a function $f : \mathbb{R} \rightarrow \mathbb{C}$ integrable on $[a..b]$, we have for any $e>0$ a tagged partition of $[a..b]$ and a step function $h$ (such that the value of $h$ across an interval in the partition is the value of $f$ at the tag of the interval) we have: $$ \int_a^b | f(x) - h(x) |\ dx < e $$

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I think you cannot exchange absolute bar with integral since what you have to show is smaller than the condition written above.

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  • $\begingroup$ The last part of my post was possibly misleading so I have removed it. $\endgroup$ – Mark Wassell Oct 9 '16 at 8:18

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