Consider the following display:
that can be obtained, for instance, with the following code:
\begin{align*}
\{\int_a^b g \; &: \; \text{ a very, very long and painful description of the functions } g\\
&\text{ that are used to build this set}\}
\end{align*}
In this display, the set builder is too long to be written on a single line and must be split into two lines. But I can't find a way for the \left\{ and \right\} delimiters to be properly displayed at the correct size (i.e., a size which is adapted to the integral sign in this set, and a size which is identical for both left and right delimiters). Is there a way to achieve this?

\biggl\{in the first line and\biggr\}in the second line. – egreg Jan 30 '22 at 15:57