Correlated Equilibrium in Stochastic Games

Eilon Solan and Nicolas Vieille

Games and Economic Behavior 38 (2002), 362-399.

We study the existence of uniform correlated equilibrium payoffs in stochastic games with finite state and action spaces. 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 multi-player stochastic game admits an autonomous correlated equilibrium payoff. When the game is positive and recursive, a stationary correlated equilibrium payoff exists.