On Tauberian theorem for stationary Nash equilibria

Abstract

We consider general n-player nonzero-sum dynamic games, which is broader than differential games and could accommodate both discrete and continuous time. Assuming common dynamics, we study the long run average family and discounting average family of the running costs. For each of these game families, we investigate asymptotic properties of its Nash equilibria. We analyze asymptotic Nash equilibria—strategy profiles that are approximately optimal if the planning horizon tends to infinity in long run average games and if the discount tends to zero in discounting games. Moreover, we also assume that this strategy profile is stationary. Under a mild assumption on players’ strategy sets, we prove a uniform Tauberian theorem for stationary asymptotic Nash equilibrium. If a stationary strategy profile is an asymptotic Nash equilibrium and the corresponding Nash value functions converge uniformly for one of the families (when discount goes to zero for discounting games, when planning horizon goes to infinity in long run average games), then for the other family this strategy profile is also an asymptotic Nash equilibrium, and its Nash value functions converge uniformly to the same limit. As an example of application of this theorem, we consider Sorger’ model of competition of two firms.