  This paper investigates mixed strategies in dynamic games with perfect
information. We present an example to show that a player may obtain higher
payoff by playing mixed strategy. By contrast, the main result of the paper
shows that every two-player dynamic zero-sum game with nature has the no-mixing
property, which implies that mixed strategy is useless in this most classical
class of games. As for applications, we show the existence of pure-strategy
subgame-perfect equilibria in two-player zero-sum games with nature. Based on
the main result, we also prove the existence of a universal subgame-perfect
equilibrium that can induce all the pure-strategy subgame-perfect equilibria in
such games. A generalization of the main result for multiple players and some
further results are also discussed.
