I happen to know that the OP'er is a student at my alma mater (Virginia Tech), and is in the math department. I'm guessing he's studying for his pde Ph.D. prelim, and this question came up. Pde's at Virginia Tech are done fairly rigorously, I believe. So he might have seen the proper integral. Would this be a Lebesgue integral that is needed?...of course the OP may be an engineering student, in which case the lecturer may just wave their hands over such things and >POOFF< there it is.