On the study of multistage stochastic vector quasi-variational problems (Q6109054)

Variational inequalities theory has its origins in the calculus of variations, and unifies a large range of applications arising in economics, game theory, control theory, operations research, and several branches of engineering sciences. Although some practical problems involve only deterministic data, in most applications there are many cases where problem data contain some uncertainty and randomness. In many real-life applications, sequential decisions must be made, motivating the interest in stochastic variational problems of multistage nature as a natural extension of the deterministic case. In this paper a multicriteria generalization is presented. In a multicriteria setting and variable ordering structures multistage stochastic variational inequalities are formulated. A nonlinear scalarization function is introduced in this functional setting. To reduce the requirements on the variable ordering structures, the authors use the concept of cosmically upper continuity rather than the classical upper semicontinuity. A multistage stochastic vector quasi-variational problem is studied by the scalarization procedure introduced. Finally, multistage stochastic Nash equilibrium problems with vector-valued payoff functions and variable ordering structures are considered.