On Uniform Tauberian Theorems for Dynamic Games

Abstract: The paper is concerned with two-person dynamic zero-sum games. We investigate the limit of value functions of finite horizon games with long run average cost as the time horizon tends to infinity, and the limit of value functions of $\lambda$-discounted games as the discount tends to zero. Under quite weak assumptions on the game, we prove the Uniform Tauberian Theorem: existence a of uniform limit for one of the value functions implies the uniform convergence of the other one to the same limit. We also prove the analogs of the One-sided Tauberian Theorem, i.e., the inequalities on asymptotics of the lower and upper game. Special attention is devoted to the case of differential games. The key roles in the proof were played by Bellman's optimality principle and the closedness of strategies under concatenation.