Correlated equilibrium in games with type-dependent strategies (Q1178809)

This paper provides a definition of correlated equilibrium that applies to games with incomplete information. A player observes which element of a partition of the states of the world obtains and conditions an action choice on this information. A strategy correlated equilibrium is a probability measure over the set of feasible strategies that yields each player a payoff at least as great as what it can obtain by making a unilateral feasible deviation. In contrast to the definition of Bayesian Nash equilibrium, this definition allows equilibrium strategy profiles to be correlated. The paper shows that strategy correlated equilibria have an upperhemicontinuity property: given a convergent sequence of games, and strategy correlated equilibria for those games, there exists a limit point of the equilibrium distributions that is a strategy correlated equilibrium for the limit game. An example of \textit{P. Milgrom} and \textit{R. Weber} [Math. Oper. Res. 10, 619-632 (1985; Zbl 0582.90106)] demonstrates that a stronger upperhemicontinuity result is not true. Existence of strategy correlated equilibria is shown to be a consequence of the continuity property established in the paper.