A fixed point theorem for measurable selection valued correspondences induced by upper Caratheodory correspondences
Let \((\Omega, B_\Omega, \mu)\) be a probability space; \(Y := Y_1 \times \dots\times Y_m = [-M,M]^m \subset \mathbb{R}^m, M > 0;\) \(X := X_1 \times \dots\times X_m\), where \(Y_d\), \(d = 1,\dots,m\) is a convex, compact metrizable subset of a locally convex topological vector space. Let \(\mathcal{L}^\infty_Y :=\mathcal{L}^\infty_{Y_1} \times \dots\times \mathcal{L}^\infty_{Y_m}\), where for each \(d = 1,\dots,m\), \(\mathcal{L}^\infty_{Y_d}\) is a convex, weak star compact metrizable subset of \(\mathcal{L}^\infty_{\mathbb{R}}\). Let \(P_f(X)\) denote the collection of all nonempty closed subsets of \(X\) and \(\mathcal{N} \colon \Omega \times \mathcal{L}^\infty_{Y} \to P_f(X)\) be a \(uC\) correspondence, i.e., it is jointly measurable in \((\omega, v)\) and upper semicontinuous in \(v\) for each \(\omega\). It is supposed that a function \(u \colon \Omega \times \mathcal{L}^\infty_{Y} \times X \to Y\), \(u(\omega, v, x) := (u_1(\omega, v, x),\dots, u_m(\omega, v, x))\) is measurable in \(\omega\) and continuous in \((v,x)\). The main result is as follows: Let \[ (\omega, v) \to \mathcal{P}(\omega, v) := u(\omega, v, \mathcal{N}(\omega, v)). \] If the multimap \(\mathcal{N}\) contains a \(uC\) sub-correspondence \(\eta (\cdot,\cdot)\) taking closed connected values in \(X\) (i.e., \(\operatorname{Gr}\eta(\omega, \cdot) \subset \operatorname{Gr} \mathcal{N}(\omega, \cdot)\) for all \(\omega\)) then there exists \(v^\star \in \mathcal{L}^\infty_{Y}\) such that \[ v^\star \in \mathcal{P}(\omega, v^\star)\quad \mu - \text{a.e. }\omega. \] Some applications to the existence of stationary Markov perfect equilibria in disconnected stochastic games are considered.
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