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Correlated Equilibrium in Stochastic Games

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Author Info
Eilon Solan
Nicolas Vieille

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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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File URL: http://www.kellogg.northwestern.edu/research/math/papers/1226.pdf
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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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  1. VIEILLE, Nicolas, 2001. "Stochastic games : recent results," Les Cahiers de Recherche 743, HEC Paris. [Downloadable!]
  2. Dinah Rosenberg & Eilon Solan & Nicolas Vieille, 2002. "Stochastic Games with Imperfect Monitoring," Discussion Papers 1341, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
    Other versions:
  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. [Downloadable!]
  4. VIEILLE, Nicolas & SOLAN, Eilon, 2002. "Perturbed Markov Chains," Les Cahiers de Recherche 757, HEC Paris. [Downloadable!]
    Other versions:
  5. Abraham Neyman, 2002. "Stochastic games: Existence of the MinMax," Discussion Paper Series dp295, Center for Rationality and Interactive Decision Theory, Hebrew University, Jerusalem. [Downloadable!]
  6. Nicolas Vieille, 2002. "Stochastic Games : recent results," Working Papers hal-00242996_v1, HAL. [Downloadable!]
  7. 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. [Downloadable!] (restricted)
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