Correlated Equilibrium in Stochastic Games

Eilon Solan () and Nicolas Vieille ()

No 1226, Discussion Papers from Northwestern University, Center for Mathematical Studies in Economics and Management Science

Abstract: We study the existence of correlated equilibrium payoff in stochastic games. The correlation devices that we use are either autonomous (they base their choice of signal on previous signals, but not on previous states or actions) or stationary (their choice is independent of any data, and is drawn according to the same probability distribution at every stage). We prove that any n-player stochastic game admits an autonomous correlated equilibrium payoff, and obtain a stronger result for recursive games. When the game is positive and recursive, a stationary correlated equilibrium payoff exists.

Date: 1998-09
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Journal Article: Correlated Equilibrium in Stochastic Games (2002)
Working Paper: Correlated Equilibrium in Stochastic Games (2002)
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