A uniform Tauberian theorem in dynamic games
Sbornik. Mathematics, Tome 209 (2018) no. 1, pp. 122-144 Cet article a éte moissonné depuis la source Math-Net.Ru

Voir la notice de l'article

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.
Keywords: dynamic programming principle, games with a saddle point, Tauberian theorem.
@article{SM_2018_209_1_a5,
     author = {D. V. Khlopin},
     title = {A~uniform {Tauberian} theorem in dynamic games},
     journal = {Sbornik. Mathematics},
     pages = {122--144},
     year = {2018},
     volume = {209},
     number = {1},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/SM_2018_209_1_a5/}
}
TY  - JOUR
AU  - D. V. Khlopin
TI  - A uniform Tauberian theorem in dynamic games
JO  - Sbornik. Mathematics
PY  - 2018
SP  - 122
EP  - 144
VL  - 209
IS  - 1
UR  - http://geodesic.mathdoc.fr/item/SM_2018_209_1_a5/
LA  - en
ID  - SM_2018_209_1_a5
ER  - 
%0 Journal Article
%A D. V. Khlopin
%T A uniform Tauberian theorem in dynamic games
%J Sbornik. Mathematics
%D 2018
%P 122-144
%V 209
%N 1
%U http://geodesic.mathdoc.fr/item/SM_2018_209_1_a5/
%G en
%F SM_2018_209_1_a5
D. V. Khlopin. A uniform Tauberian theorem in dynamic games. Sbornik. Mathematics, Tome 209 (2018) no. 1, pp. 122-144. http://geodesic.mathdoc.fr/item/SM_2018_209_1_a5/

[1] G. H. Hardy, J. E. Littlwood, “Tauberian theorems concerning power series and Dirichlet's series whose coefficients are positive”, Proc. London Math. Soc. (2), 13 (1914), 174–191 | DOI | MR | Zbl

[2] G. H. Hardy, Divergent series, Oxford, Clarendon Press, 1949, xvi+396 pp. | MR | MR | Zbl

[3] N. H. Bingham, C. M. Goldie, J. L. Teugels, Regular variation, Encyclopedia Math. Appl., 27, Cambridge Univ. Press, Cambridge, 1987, xx+491 pp. | DOI | MR | Zbl

[4] J. Korevaar, “A century of complex Tauberian theory”, Bull. Amer. Math. Soc. (N.S.), 39:4 (2002), 475–531 | DOI | MR | Zbl

[5] A. F. Grishin, I. V. Poedintseva, “Abelian and Tauberian theorems for integrals”, St. Petersburg Math. J., 26:3 (2015), 357–409 | DOI | MR | Zbl

[6] A. L. Yakymiv, “A Tauberian theorem for multiple power series”, Sb. Math., 207:2 (2016), 286–313 | DOI | DOI | MR | Zbl

[7] J.-F. Mertens, A. Neyman, “Stochastic games”, Internat. J. Game Theory, 10:2 (1981), 53–66 | DOI | MR | Zbl

[8] T. Bewley, E. Kohlberg, “The asymptotic theory of stochastic games”, Math. Oper. Res., 1:3 (1976), 197–208 | DOI | MR | Zbl

[9] B. Ziliotto, “A Tauberian theorem for nonexpansive operators and applications to zero-sum stochastic games”, Math. Oper. Res., 41:4 (2016), 1522–1534 | DOI | MR | Zbl

[10] R. Z. Khasminskii, “O printsipe usredneniya dlya stokhasticheskikh differentsialnykh uravnenii Ito”, Kybernetika, 4:3 (1968), 260–279

[11] V. G. Gaitsgori, “Use of the averaging method in control problems”, Differential Equations, 22:11 (1986), 1290–1299 | MR

[12] P. Lions, G. Papanicolaou, S. R. S. Varadhan, Homogenization of Hamilton–Jacobi equations, unpublished, 1986

[13] A. Bensoussan, Perturbation methods in optimal control, Wiley/Gauthier-Villars Ser. Modern Appl. Math., John Wiley Sons, Ltd., Chichester; Gauthier-Villars, Montrouge, 1988, xiv+573 pp. | MR | Zbl

[14] F. Colonius, W. Kliemann, “Infinite time optimal control and periodicity”, Appl. Math. Optim., 20:2 (1989), 113–130 | DOI | MR | Zbl

[15] D. A. Carlson, A. B. Haurie, A. Leizarowitz, Infinite horizon optimal control. Deterministic and stochastic systems, 2nd rev. and enl. ed., Springer-Verlag, Berlin, 1991, xvi+332 pp. | MR | Zbl

[16] M. Arisawa, “Ergodic problem for the Hamilton–Jacobi–Bellman equation. II”, Ann. Inst. H. Poincaré Anal. Non Linéaire, 15:1 (1998), 1–24 | DOI | MR | Zbl

[17] M. Arisawa, P. L. Lions, “On ergodic stochastic control”, Comm. Partial Differential Equations, 23:11-12 (1998), 2187–2217 | DOI | MR | Zbl

[18] A. Fathi, “Sur la convergence du semi-groupe de Lax–Oleinik”, C. R. Acad. Sci. Paris Sér. I Math., 327:3 (1998), 267–270 | DOI | MR | Zbl

[19] Z. Artstein, V. Gaitsgory, “The value function of singularly perturbed control systems”, Appl. Math. Optim., 41:3 (2000), 425–445 | DOI | MR | Zbl

[20] G. Barles, P. E. Souganidis, “On the large time behavior of solutions of Hamilton–Jacobi equations”, SIAM J. Math. Anal., 31:4 (2000), 925–939 | DOI | MR | Zbl

[21] O. Alvarez, M. Bardi, “Ergodic problems in differential games”, Advances in dynamic game theory, Ann. Internat. Soc. Dynam. Games, 9, Birkhäuser Boston, 2007, 131–152 | DOI | MR | Zbl

[22] L. Grüne, “On the relation between discounted and average optimal value functions”, J. Differential Equations, 148:1 (1998), 65–99 | DOI | MR | Zbl

[23] V. Gaitsgory, M. Quincampoix, “On sets of occupational measures generated by a deterministic control system on an infinite time horizon”, Nonlinear Anal., 88 (2013), 27–41 | DOI | MR | Zbl

[24] P. Cannarsa, M. Quincampoix, “Vanishing discount limit and nonexpansive optimal control and differential games”, SIAM J. Control Optim., 53:4 (2015), 1789–1814 | DOI | MR | Zbl

[25] E. Lehrer, S. Sorin, “A uniform Tauberian theorem in dynamic programming”, Math. Oper. Res., 17:2 (1992), 303–307 | DOI | MR | Zbl

[26] M. Oliu-Barton, G. Vigeral, “A uniform Tauberian theorem in optimal control”, Advances in dynamic games. Theory, applications, and numerical methods for differential and stochastic games (Banff, Canada, 2010), Ann. Internat. Soc. Dynam. Games, 12, Birkhäuser/Springer, New York, 2012, 199–215 ; Erratum in: HAL preprint ID hal-00661833v3, 2016 } {https://hal.archives-ouvertes.fr/hal-00661833v3 | DOI | MR | Zbl

[27] D. V. Khlopin, “Uniform Tauberian theorem in differential games”, Autom. Remote Control, 77:4 (2016), 734–750 | DOI | MR | Zbl

[28] A. G. Chentsov, “On interrelations between different versions of the method of program iterations: a positional version”, Cybern. Syst. Anal., 38:3 (2002), 422–438 | DOI | MR | Zbl

[29] M. Bardi, I. Capuzzo-Dolcetta, Optimal control and viscosity solutions of Hamilton–Jacobi–Bellman equations, Systems Control Found. Appl., Birkhäuser Boston, Inc., Boston, MA, 1997, xviii+570 pp. | DOI | MR | Zbl

[30] N. N. Krasovskii, A. I. Subbotin, Game-theoretical control problems, Springer Ser. Soviet Math., Springer-Verlag, New York, 1988, xii+517 pp. | MR | MR | Zbl | Zbl

[31] D. V. Khlopin, On an example for the uniform Tauberian theorem in abstract control systems, arXiv: 1604.07111