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Correlated Equilibrium in Stochastic Games

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  • Eilon Solan
  • Nicolas Vieille

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.

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Bibliographic Info

Paper provided by Northwestern University, Center for Mathematical Studies in Economics and Management Science in its series Discussion Papers with number 1226.

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Date of creation: Sep 1998
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Handle: RePEc:nwu:cmsems:1226

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Postal: Center for Mathematical Studies in Economics and Management Science, Northwestern University, 580 Jacobs Center, 2001 Sheridan Road, Evanston, IL 60208-2014
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Web page: http://www.kellogg.northwestern.edu/research/math/
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References

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  1. Vrieze, O J & Thuijsman, F, 1989. "On Equilibria in Repeated Games with Absorbing States," International Journal of Game Theory, Springer, vol. 18(3), pages 293-310.
  2. R. Aumann, 2010. "Correlated Equilibrium as an expression of Bayesian Rationality," Levine's Bibliography 513, UCLA Department of Economics.
  3. FORGES, Françoise, . "An approach to communication equilibria," CORE Discussion Papers RP -721, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. Aumann, Robert J., 1974. "Subjectivity and correlation in randomized strategies," Journal of Mathematical Economics, Elsevier, vol. 1(1), pages 67-96, March.
  5. Roger B. Myerson, 1984. "Multistage Games with Communication," Discussion Papers 590, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  6. Eilon Solan & Nicolas Vieille, 1998. "Quitting Games," Discussion Papers 1227, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
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Cited by:
  1. Abraham Neyman, 2012. "Continuous-time Stochastic Games," Discussion Paper Series dp616, The Center for the Study of Rationality, Hebrew University, Jerusalem.
  2. Heller, Yuval & Solan, Eilon & Tomala, Tristan, 2010. "Communication, correlation and cheap-talk in games with public information," MPRA Paper 25895, University Library of Munich, Germany.
  3. Eilon Solan & Rakesh V. Vohra, 1999. "Correlated Equilibrium, Public Signaling and Absorbing Games," Discussion Papers 1272, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  4. Nicolas Vieille, 2002. "Stochastic Games : recent results," Working Papers hal-00242996, HAL.
  5. Eilon Solan & Nicolas Vieille, 2010. "Computing uniformly optimal strategies in two-player stochastic games," Economic Theory, Springer, vol. 42(1), pages 237-253, January.
  6. Ramsey, David M. & Szajowski, Krzysztof, 2004. "Correlated equilibria in competitive staff selection problem," MPRA Paper 19870, University Library of Munich, Germany, revised 2006.
  7. Dinah Rosenberg & Eilon Solan & Nicolas Vieille, 2003. "Stochastic Games with Imperfect Monitoring," Discussion Papers 1376, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  8. Michael Ludkovski, 2010. "Stochastic Switching Games and Duopolistic Competition in Emissions Markets," Papers 1001.3455, arXiv.org, revised Aug 2010.
  9. Abraham Neyman, 2013. "Stochastic Games with Short-Stage Duration," Dynamic Games and Applications, Springer, vol. 3(2), pages 236-278, June.
  10. János Flesch & Gijs Schoenmakers & Koos Vrieze, 2009. "Stochastic games on a product state space: the periodic case," International Journal of Game Theory, Springer, vol. 38(2), pages 263-289, June.
  11. Abraham Neyman, 2013. "Stochastic games with short-stage duration," Discussion Paper Series dp636, The Center for the Study of Rationality, Hebrew University, Jerusalem.
  12. Abraham Neyman, 2002. "Stochastic games: Existence of the MinMax," Discussion Paper Series dp295, The Center for the Study of Rationality, Hebrew University, Jerusalem.
  13. VIEILLE, Nicolas, 2001. "Stochastic games : recent results," Les Cahiers de Recherche 743, HEC Paris.
  14. VIEILLE, Nicolas & SOLAN, Eilon, 2002. "Perturbed Markov Chains," Les Cahiers de Recherche 757, HEC Paris.

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