Correlated Equilibrium in Stochastic Games

Authors: Solan E.^{1, 2}; Vieille N.³

Source: Games and Economic Behavior, Volume 38, Number 2, February 2002 , pp. 362-399(38)

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Abstract:

We study the existence of uniform correlated equilibrium payoffs 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. When the game is positive and recursive, a stationary correlated equilibrium payoff exists. Journal of Economic Literature Classification Numbers: C72, C73. © 2002 Elsevier Science.

Keywords: stochastic games; correlated equilibrium; positive recursive games

Language: English

Document Type: Research article

Affiliations: 1: MEDS Department, Kellogg Graduate School of Management, Northwestern University 2: the School of Mathematical Sciences, Tel Aviv University, Tel Aviv, 69978, Israel 3: Laboratoire d'Econométrie, Ecole Polytechnique and Département Finance et Economie, HEC, 1, rue de la Libération, Jouy-en-Josas, 78, France

Publication date: 2002-02-01