Random games under normal mean-variance mixture distributed independent linear joint chance constraints
From MaRDI portal
Publication:6540890
DOI10.1016/j.spl.2024.110036zbMath1537.91031MaRDI QIDQ6540890
Vikas Vikram Singh, Hoang Nam Nguyen, Abdel Lisser
Publication date: 17 May 2024
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Stochastic programming (90C15) Stochastic games, stochastic differential games (91A15) Financial markets (91G15)
Cites Work
- Unnamed Item
- Convexity of chance constraints with independent random variables
- Stability analysis for stochastic programs
- Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints
- On the existence of solutions to stochastic quasi-variational inequality and complementarity problems
- A second-order cone programming formulation for two player zero-sum games with chance constraints
- A characterization of Nash equilibrium for the games with random payoffs
- Existence of Nash equilibrium for chance-constrained games
- A second-order cone programming approach for linear programs with joint probabilistic constraints
- Random games under elliptically distributed dependent joint chance constraints
- Chance-constrained games with mixture distributions
- Equilibrium selection for multi-portfolio optimization
- An equivalent mathematical program for games with random constraints
- General sum games with joint chance constraints
- Applications of a theorem concerning sets with convex sections
- Addressing supply-side risk in uncertain power markets: stochastic Nash models, scalable algorithms and error analysis
- Normal Variance-Mean Mixtures and z Distributions
- Equilibrium points in n -person games
- Robust mixture regression modeling based on the normal mean-variance mixture distributions
This page was built for publication: Random games under normal mean-variance mixture distributed independent linear joint chance constraints
