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Differentiability and semismoothness properties of integral functions and their applications

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Abstract.

In this paper we study differentiability and semismoothness properties of functions defined as integrals of parameterized functions. We also discuss applications of the developed theory to the problems of shape-preserving interpolation, option pricing and semi-infinite programming.

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Author notes

  1. Chen Ling

    Present address: Department of Applied Mathematics, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong

Authors and Affiliations

  1. Department of Applied Mathematics, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong

    Liqun Qi

  2. School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, Georgia, 30332-0205, USA

    Alexander Shapiro

  3. School of Information, Zhejiang University of Finance and Economics, Hangzhou, 310012, China

    Chen Ling

Authors
  1. Liqun Qi
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  2. Alexander Shapiro
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  3. Chen Ling
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Corresponding author

Correspondence to Liqun Qi.

Additional information

Supported by the Hong Kong Research Grant Council under grant PolyU 5296/02P.

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Qi, L., Shapiro, A. & Ling, C. Differentiability and semismoothness properties of integral functions and their applications. Math. Program. 102, 223–248 (2005). https://doi.org/10.1007/s10107-004-0523-x

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