Characterization
of Correlated Equilibria in Stochastic Games
Eilon
Solan
International
Journal of Game Theory 30 (2001),
259-277.
A general communication device is a
device that at every stage of the game receives a private message from each
player, and in return
sends a private signal to each player; the signals the device sends depend on
past play, past signals it
sent, and past messages it received.
An autonomous correlation device is a
general communication device where signals depend only on past signals
the device sent, but not on past play
or past messages it received.
We show that the set of all equilibrium
payoffs in extended games that include a general communication device coincides
with the set of all equilibrium payoffs in extended games
that include an autonomous correlation
device. A stronger result is obtained when the punishment level is independent
of the history.
The results hold in a most general
setup: the state and action spaces are general,
and the payoff function may be an
arbitrary measurable function defined over the space of plays.