On Stochastic Variational Inequalities with Mean Value Constraints

On Stochastic Variational Inequalities with Mean Value Constraints

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Article ID: iaor20163668
Volume: 171
Issue: 2
Start Page Number: 675
End Page Number: 693
Publication Date: Nov 2016
Journal: Journal of Optimization Theory and Applications
Authors: , ,
Keywords: stochastic processes, heuristics
Abstract:

In this note, we consider a class of variational inequalities on probabilistic Lebesgue spaces, where the constraints are satisfied on average, and provide an approximation procedure for the solutions. As an application, we investigate the Nash–Cournot oligopoly problem with uncertain data and compare the solutions obtained when the constraints are satisfied on average with the ones obtained when the constraints are satisfied almost surely.

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