my thesis over 340 pages on Henstockkurzweil integral in abstract approach conducts treatment of fubini theorem 
also henstock kurzweil integral right from the beginni is treat3ed on R = [-infinity infinity] and Rn and now i also have Rs where s can be countable or uncountable infinite.
it carries riemmann sum convergence theorem generalized Lebesgue dominated convergence.
 In fact now i have a generalized Fatous lemma for arbitrary functions and generalized monotone convergence theorem
mean value  theorem which gives as a corollary Lagrange's mean value theorem .
thesis can be downloaded  from UGC india website.
 you can get it by email from me mail [email protected]
thesis is refereed by Mudlowney a student of Henstock