On Tauberian theorem for stationary Nash equilibria
The author considers general \(n\)-player nonzero-sum dynamic games and studies the long run average family and discounting average family of the running costs. For each of these game families, he investigates asymptotic properties of its Nash equilibria and correspondence between the Nash value function and the total payoff families. The running costs are averaged with respect to uniform (Cesaro average) or exponential (Abel average) distributions. The theorems that describe the connection between the Cesaro and Abel averages are known as Tauberian. Under a mild assumption on players' strategy sets, the author proves 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, Sorger's model of competition of two firms is considered.
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