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.