A new approach based on occupation measures is introduced for studying stochastic differential games. For two-person zero-sum games, the existence of values and optimal strategies for both players is established for various payoff criteria. ForN-person games, the existence of equilibria in Markov strategies is established for various cases.
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Communicated by P. Varaiya
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Borkar, V.S., Ghosh, M.K. Stochastic differential games: Occupation measure based approach. J Optim Theory Appl 73, 359–385 (1992). https://doi.org/10.1007/BF00940187
- Occupation measure
- Markov strategy
- invariant measure
- Isaacs equation