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Differentiability and semismoothness properties of integral functions and their applications |
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| Authors: | Liqun Qi Alexander Shapiro Chen Ling |
| Institution: | (1) Department of Applied Mathematics, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong;(2) School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, Georgia 30332-0205, USA;(3) School of Information, Zhejiang University of Finance and Economics, Hangzhou, 310012, China;(4) Present address: Department of Applied Mathematics, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong |
| 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.Supported by the Hong Kong Research Grant Council under grant PolyU 5296/02P. |
| Keywords: | Smoothness Semismoothness Shape-preserving interpolation Option price problem Semi-infinite programming |
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