Differentiability and semismoothness properties of integral functions and their applications

Liqun Qi; Alexander Shapiro; Chen Ling

doi:10.1007/s10107-004-0523-x

Differentiability and semismoothness properties of integral functions and their applications

Liqun Qi, Alexander Shapiro, Chen Ling

Research output: Journal article publication › Journal article › Academic research › peer-review

27 Citations (Scopus)

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.

Original language	English
Pages (from-to)	223-248
Number of pages	26
Journal	Mathematical Programming
Volume	102
Issue number	2
DOIs	https://doi.org/10.1007/s10107-004-0523-x
Publication status	Published - 1 Mar 2005

Keywords

Option price problem
Semi-infinite programming
Semismoothness
Shape-preserving interpolation
Smoothness

ASJC Scopus subject areas

Software
General Mathematics

More information

10.1007/s10107-004-0523-x

Cite this

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title = "Differentiability and semismoothness properties of integral functions and their applications",

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author = "Liqun Qi and Alexander Shapiro and Chen Ling",

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AB - 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.

KW - Option price problem

KW - Semi-infinite programming

KW - Semismoothness

KW - Shape-preserving interpolation

KW - Smoothness

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DO - 10.1007/s10107-004-0523-x

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JO - Mathematical Programming

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ER -

Differentiability and semismoothness properties of integral functions and their applications

Abstract

Keywords

ASJC Scopus subject areas

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