Abstract
In this section we present the dynamic programming approach to stochastic differential games. We only present the case for zero sum games. For the extension to non-zero sum games, we refer to [MØ].
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Øksendal, B., Sulem, A. (2019). Stochastic Differential Games. In: Applied Stochastic Control of Jump Diffusions. Universitext. Springer, Cham. https://doi.org/10.1007/978-3-030-02781-0_6
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DOI: https://doi.org/10.1007/978-3-030-02781-0_6
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