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On the study of multistage stochastic vector quasi-variational problems

Author

Listed:
  • Elena Molho

    (University of Pavia)

  • Domenico Scopelliti

    (Department of Economics and Management)

Abstract

This paper focuses on the study of multistage stochastic vector generalized quasi-variational inequalities with a variable ordering structure. The proposed multistage stochastic vector quasi-variational problems are defined in a suitable functional setting relative to a finite set of final possible states and certain information fields; these formulations are a multicriteria extension of the multistage stochastic variational inequalities. A relevant aspect of these problems is the presence of the nonanticipativity constraints on the variables of the problem; stage by stage, these constraints impose the measurability with respect to the information field at that stage. Without requiring any assumption of monotonicity, we prove some existence results by using a nonlinear scalarization technique. On this basis, we analyze multistage stochastic vector Nash equilibrium problems: as an example, we focus on a suitable multistage stochastic bicriteria Cournot oligopolistic model.

Suggested Citation

  • Elena Molho & Domenico Scopelliti, 2023. "On the study of multistage stochastic vector quasi-variational problems," Journal of Global Optimization, Springer, vol. 86(4), pages 931-952, August.
    • Handle: RePEc:spr:jglopt:v:86:y:2023:i:4:d:10.1007_s10898-023-01282-z
    DOI: 10.1007/s10898-023-01282-z
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    References listed on IDEAS

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