The paper proves existence of a Stackelberg equilibrium and sufficient conditions for uniqueness of the follower variational equilibrium in a shared-infrastructure pricing game with risk-averse, congestion-coupled firms, and gives a polynomial-time approximation plus a probability-of-profit lower bo
arXiv preprint arXiv:2007.09771 , year=
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Sufficient local conditions are derived for continuity of decision-dependent VaR and C1 differentiability of CVaR, plus an explicit gradient formula.
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Shared Infrastructure Investment and Pricing: Stackelberg Equilibria in Risk-Aware Take-or-Pay Contracts
The paper proves existence of a Stackelberg equilibrium and sufficient conditions for uniqueness of the follower variational equilibrium in a shared-infrastructure pricing game with risk-averse, congestion-coupled firms, and gives a polynomial-time approximation plus a probability-of-profit lower bo
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Continuity of VaR and Continuous Differentiability of CVaR under Decision-Dependent Losses
Sufficient local conditions are derived for continuity of decision-dependent VaR and C1 differentiability of CVaR, plus an explicit gradient formula.