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Two-stage stochastic variational inequalities for Cournot-Nash equilibrium with risk-averse players under uncertainty

  • * Corresponding author: Hailin Sun

    * Corresponding author: Hailin Sun

The work is supported by NSFC grant 11871276

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  • A convex two-stage non-cooperative game with risk-averse players under uncertainty is formulated as a two-stage stochastic variational inequality (SVI) for point-to-set operators. Due to the indifferentiability of function $ (\cdot)_+ $ and the discontinuity of solution mapping of the second-stage problem, under standard assumptions, we propose a smoothing and regularization method to approximate it as a two-stage SVI in point-to-point case with continuous second stage solution functions. The corresponding convergence analysis is also given.

    Mathematics Subject Classification: Primary: 90C15; Secondary: 90C33.


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