Consider the following integral:
$$\int_{\text{One line \\ Second line}} \text{Loss}\left(\text{Foo, Bar} \vert \alpha\right)$$
which renders:

How can I have One line and Second line on two separate and consecutive lines at the bottom of the integral?

\substackcommand – David Carlisle Apr 30 '15 at 19:51\[…\]or\begin{align*}…\end{align*}rather than$$. Source : http://tex.stackexchange.com/q/503/34551 – Clément Apr 30 '15 at 20:17$$only because the OP had the$$. Your comment here will hopefully help the OP to learn about the differences, and this will be sufficient because the post is a duplicate anyway. In general, when I think an answer should be changed, I simply leave a comment below it and let the author decide. Cheers! – Paul Gessler Apr 30 '15 at 20:30