Approximating Security Values of MinSup Problems with Quasi-variational Inequality Constraints

M. Beatrice Lignola () and Jacqueline Morgan
Additional contact information
M. Beatrice Lignola: Università di Napoli Federico II

CSEF Working Papers from Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy

Abstract: We consider a two-stage model where a leader, according to its risk-averse proneness, solves a MinSup problem with constraints corresponding to the reaction sets of a follower and defined by the solutions of a quasi-variational inequality (i.e. a variational inequality having constraint sets depending on its own solutions) which appear in concrete economic models such as social and economic networks, financial derivative models, transportation network congestion and traffic equilibrium. In general the infimal value of a MinSup (or the maximal value of a MaxInf) problem with quasi-variational inequality constraints is not stable under perturbations in the sense that the sequence of optimal values for the perturbed problems may not converge to the optimal value of the original problem even in presence of nice data. Thus, we introduce different types of approximate values for this problem, we investigate their asymptotical behavior under perturbations and we emphasized the results concerning MinSup problems with variational inequality constraints as well results holding under stronger assumptions that can be more easily employed in applications.

Date: 2012-09-14, Revised 2014-10-09
New Economics Papers: this item is included in nep-mic and nep-tre
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Published in Pacific Journal of Optimization, 2014, 10(4), pp. 749-765

Downloads: (external link)
http://www.csef.it/WP/wp321.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sef:csefwp:321

Access Statistics for this paper

More papers in CSEF Working Papers from Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy Contact information at EDIRC.
Bibliographic data for series maintained by Dr. Maria Carannante ().