We investigate how well continuous-time fictitious play in two-player games
performs in terms of average payoff, particularly compared to Nash equilibrium
payoff. We show that in many games, fictitious play outperforms Nash
equilibrium on average or even at all times, and moreover that any game is
linearly equivalent to one in which this is the case. Conversely, we provide
conditions under which Nash equilibrium payoff dominates fictitious play
payoff. A key step in our analysis is to show that fictitious play dynamics
asymptotically converges the set of coarse correlated equilibria (a fact which
is implicit in the literature).Comment: 16 pages, 4 figure
