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Correlated Equilibrium in Stochastic Games

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  • Solan, Eilon
  • Vieille, Nicolas

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.
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Suggested Citation

  • Solan, Eilon & Vieille, Nicolas, 2002. "Correlated Equilibrium in Stochastic Games," Games and Economic Behavior, Elsevier, vol. 38(2), pages 362-399, February.
    • Handle: RePEc:eee:gamebe:v:38:y:2002:i:2:p:362-399
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    References listed on IDEAS

    as
    1. Nicolas Vieille, 2000. "Small perturbations and stochastic games," Post-Print hal-00481409, HAL.
    2. Vrieze, O J & Thuijsman, F, 1989. "On Equilibria in Repeated Games with Absorbing States," International Journal of Game Theory, Springer;Game Theory Society, vol. 18(3), pages 293-310.
    3. Aumann, Robert J, 1987. "Correlated Equilibrium as an Expression of Bayesian Rationality," Econometrica, Econometric Society, vol. 55(1), pages 1-18, January.
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    5. FORGES, Françoise, 1988. "Communication equilibria in repeated games with incomplete information," LIDAM Reprints CORE 809, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    6. Eilon Solan & Nicolas Vieille, 1998. "Quitting Games," Discussion Papers 1227, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    7. Nicolas Vieille & Dinah Rosenberg, 2000. "The Maxmin of Recursive Games with Incomplete Information on one Side," Post-Print hal-00481429, HAL.
    8. Truman Bewley & Elon Kohlberg, 1976. "The Asymptotic Theory of Stochastic Games," Mathematics of Operations Research, INFORMS, vol. 1(3), pages 197-208, August.
    9. Forges, Francoise M, 1986. "An Approach to Communication Equilibria," Econometrica, Econometric Society, vol. 54(6), pages 1375-1385, November.
    10. Françoise Forges, 1988. "Communication Equilibria in Repeated Games with Incomplete Information," Mathematics of Operations Research, INFORMS, vol. 13(2), pages 191-231, May.
    11. Myerson, Roger B, 1986. "Multistage Games with Communication," Econometrica, Econometric Society, vol. 54(2), pages 323-358, March.
    12. Mertens, J.-F., 1994. "Correlated- and communication equilibria," LIDAM Reprints CORE 1103, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    13. Eilon Solan, 1999. "Three-Player Absorbing Games," Mathematics of Operations Research, INFORMS, vol. 24(3), pages 669-698, August.
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    More about this item

    JEL classification:

    • C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games

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