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In order to cater for the overwhelming growth in bandwidth demand from mobile Internet users operators have started to deploy different, overlapping radio access network technologies. One important challenge in such a heterogeneous wireless environment is to enable network selection mechanisms in order to keep the mobile users Always Best Connected (ABC) anywhere and anytime. Game theory techniques have been receiving growing attention in recent years as they can be adopted in order to model and understand competitive and cooperative scenarios between rational decision makers. This paper presents an overview of the network selection decision problem and challenges, a comprehensive classification of related game theoretic approaches and a discussion on the application of game theory to the network selection problem faced by the next generation of 4G wireless networks.