there is some kinds of form of integral that showed in the book about the empirical process(Introduction of Empirical Processes and Semiparametric Inference)that I don't understand, and here is the integral:
$\int (\sqrt{n}(d(P_n)^{1/2}-d(P)^{1/2})-(1/2)h*d(P)^{1/2})^2$
where $P_n$ and $P$ are the measures,so my question is what is the meaning of $\int f(dx)$?
For example what is $\int (dx)^2$? How to compute it?