Formulates Cournot-Nash equilibrium under uncertainty as two-stage SVI, proposes regularized SAA method with convergence proof, and demonstrates on crude oil market data.
Kilian, Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market, Am
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Regularized two-stage stochastic variational inequalities for Cournot-Nash equilibrium under uncertainty
Formulates Cournot-Nash equilibrium under uncertainty as two-stage SVI, proposes regularized SAA method with convergence proof, and demonstrates on crude oil market data.