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首页> 外文期刊>Journal of Economic Dynamics and Control >Dynamic oligopolistic games under uncertainty: A stochastic programming approach
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Dynamic oligopolistic games under uncertainty: A stochastic programming approach

机译：不确定性下的动态寡头博弈：一种随机规划方法

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摘要

This paper studies several stochastic programming formulations of dynamic oligopolistic games under uncertainty. We argue that one of the models, namely games with probabilistic scenarios (GPS), provides an appropriate formulation. For such games, we show that symmetric players earn greater expected profits as demand volatility increases. This result suggests that even in an increasingly volatile market, players may have an incentive to participate in the market. The key to our approach is the so-called scenario formulation of stochastic programming. In addition to several modeling insights, we also discuss the application of GPS to the electricity market in Ontario, Canada. The examples presented in this paper illustrate that this approach can address dynamic games that are clearly out of reach for dynamic programming, a common approach in the literature on dynamic games.
机译：本文研究了不确定性下动态寡头博弈的几种随机规划公式。我们认为，其中一种模型，即具有概率情景的游戏（GPS），提供了适当的表述。对于此类游戏，我们表明随着需求波动性的增加，对称玩家可以获得更高的预期利润。这一结果表明，即使在不断变化的市场中，参与者也可能有动机参与市场。我们的方法的关键是随机编程的所谓方案表述。除了一些建模方面的见解之外，我们还将讨论GPS在加拿大安大略省电力市场中的应用。本文介绍的示例说明，这种方法可以解决动态编程显然无法达到的动态游戏，这是动态游戏文献中的常见方法。

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