Correlated Equilibrium in Stochastic Games

E. Solan, N. VIEILLE

Games and Economic Behavior

February 2002, vol. 38, n°2, pp.362-399

Departments: Economics & Decision Sciences, GREGHEC (CNRS)

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.