General Limit Value for Stationary Nash Equilibrium

Abstract

We analyze the uniform asymptotics of the equilibrium value (as a function of initial state) in the case when its payoffs are averaged with respect to a density that depends on some scale parameter and this parameter tends to zero; for example, the Cesaro and Abel averages as payoffs for the uniform and the exponential densities, respectively. We also investigate the robustness of this asymptotics of the equilibrium value with respect to the choice of distribution when its scale parameter is small enough. We establish the class of densities such that the existence of the asymptotics of the equilibrium value for some density guarantees the same asymptotics for a piecewise-continuous density; in particular, this class includes the uniform, exponential, and rational densities. By reducing the general n-person dynamic games to mappings that assigns to each payoff its corresponding equilibrium value, we gain an ability to consider dynamic games in continuous and discrete time, both in deterministic and stochastic settings.