S-Adapted Oligopoly Equilibria and Approximations in Stochastic Variational Inequalities

Alain Haurie () and Francesco Moresino

Annals of Operations Research, 2002, vol. 114, issue 1, 183-201

Abstract: This paper deals with a class of dynamic games that are used for modelling oligopolistic competition in discrete time with random disturbances that can be described as an event tree with exogenously given probabilities. The concepts of S-adapted information structure and S-adapted equilibrium are reviewed and a characterization of the equilibrium as the solution of a variational inequality (VI) is proposed. Conditions for existence and uniqueness of the equilibrium are provided. In order to deal with the large dimension of the VI an approximation method is proposed which is based on the use of random sampling of scenarios in the event tree. A proof of convergence is provided and these results are illustrated numerically on two dynamic oligopoly models. Copyright Kluwer Academic Publishers 2002

Keywords: stochastic oligopoly model; sample path optimization; sampling technique; convergence of equilibria; numerical solution to variational inequalities (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1023/A:1021018421126

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