[step:Verify the associative algebra structure]
It remains to check that the convolution product is associative on $R(\mathcal F,\sim;k)$. Let $f,g,h\in R(\mathcal F,\sim;k)$, and fix $[x,y]\in\mathcal F$. Since $[x,y]$ is finite, all sums below are finite. First,
\begin{align*}
((f*g)*h)([x,y])
=
\sum_{z\in[x,y]}\left(\sum_{u\in[x,z]} f([x,u])g([u,z])\right)h([z,y]).
\end{align*}
Reindexing this finite sum over pairs $(u,z)$ with $x\le u\le z\le y$ gives
\begin{align*}
((f*g)*h)([x,y])
=
\sum_{x\le u\le z\le y} f([x,u])g([u,z])h([z,y]).
\end{align*}
Similarly,
\begin{align*}
(f*(g*h))([x,y])
=
\sum_{u\in[x,y]}f([x,u])\left(\sum_{z\in[u,y]} g([u,z])h([z,y])\right).
\end{align*}
Reindexing this finite sum over the same set of pairs $(u,z)$ with $x\le u\le z\le y$ gives
\begin{align*}
(f*(g*h))([x,y])
=
\sum_{x\le u\le z\le y} f([x,u])g([u,z])h([z,y]).
\end{align*}
Hence
\begin{align*}
((f*g)*h)([x,y])=(f*(g*h))([x,y])
\end{align*}
for every $[x,y]\in\mathcal F$. Thus convolution is associative. Together with the pointwise $k$-module structure and the closure under convolution proved above, this shows that $R(\mathcal F,\sim;k)$ is an associative $k$-algebra under convolution.
[/step]