Coarse Correlated Equilibrium Implies Nash Equilibrium in Two-Player Zero-Sum Games

We give a simple proof of the well-known result that the marginal strategies of a coarse correlated equilibrium form a Nash equilibrium in two-player zero-sum games. A corollary of this fact is that no-external-regret learning algorithms that converge to the set of coarse correlated equilibria will also converge to Nash equilibria in two-player zero-sum games. We show an approximate version: that $\epsilon$-coarse correlated equilibria imply $2\epsilon$-Nash equilibria.