  In recent work by Khmaladze and Weil (2008) and by Einmahl and Khmaladze
(2011), limit theorems were established for local empirical processes near the
boundary of compact convex sets $K$ in $\R$. The limit processes were shown to
live on the normal cylinder $\Sigma$ of $K$, respectively on a class of
set-valued derivatives in $\Sigma$. The latter result was based on the concept
of differentiation of sets at the boundary $\partial K$ of $K$, which was
developed in Khmaladze (2007). Here, we extend the theory of set-valued
derivatives to boundaries $\partial F$ of rather general closed sets $F\subset
\R$, making use of a local Steiner formula for closed sets, established in Hug,
Last and Weil (2004).
