A uniform Tauberian theorem in dynamic games

Abstract

Antagonistic dynamic games including games represented in normal form are considered. The asymptotic behaviour of value in these games is investigated as the game horizon tends to infinity (Cesàro mean) and as the discounting parameter tends to zero (Abel mean). The corresponding Abelian-Tauberian theorem is established: it is demonstrated that in both families the game value uniformly converges to the same limit, provided that at least one of the limits exists. Analogues of one-sided Tauberian theorems are obtained. An example shows that the requirements are essential even for control problems. Bibliography: 31 titles.