A Tauberian theorem for nonexpansive operators and applications to zero-sum stochastic games

Abstract

We prove a Tauberian theorem for nonexpansive operators, and apply it to the model of zero-sum stochastic game. Under mild assumptions, we prove that the value of the lambda-discounted game v_{lambda} converges uniformly when lambda goes to 0 if and only if the value of the n-stage game v_n converges uniformly when n goes to infinity. This generalizes the Tauberian theorem of Lehrer and Sorin (1992) to the two-player zero-sum case. We also provide the first example of a stochastic game with public signals on the state and perfect observation of actions, with finite state space, signal sets and action sets, in which for some initial state k_1 known by both players, (v_{lambda}(k_1)) and (v_n(k_1)) converge to distinct limits.