Theoretical Economics 16 (2021), 1221–1248

Harris, Reny, and Robson (1995) add a public randomization device to dynamic games with almost perfect information to ensure existence of subgame perfect equilibria (SPE). We show that when Nature's moves are atomless in the original game, public randomization does not enlarge the set of SPE payoffs: any SPE obtained using public randomization can be ``de-correlated" to produce a payoff-equivalent SPE of the original game. As a corollary, we provide an alternative route to a result of He and Sun (2020) on existence of SPE without public randomization, which in turn yields equilibrium existence for stochastic games with weakly continuous state transitions.

Keywords: Existence, subgame-perfect equilibrium, infinite-action games, stochastic games, public randomization

JEL classification: C72, C73