The integral also permits analogues of the chain rule and other theorems of the integral calculus for higher dimensions.
The Riemann sums of the Pfeffer integral are taken over partitions made up of such sets, rather than intervals as in the Riemann or Henstock integrals.
Pfeffer defined a notion of generalized absolute continuity
, and proved that a function is Pfeffer integrable if it is the derivative of an
He also proved a chain rule for the Pfeffer integral.