Abstract
A stochastic differential game with a fixed termination time is considered within the framework of the formalization in [1], The existence of saddle points of the stochastic differential game in classes of position strategies is proved. The convergence of the stochastic differential game's value to that of an ordinary position differential game as the noise intensity decreases to zero is established. The possibility of using a stochastic process as guide in the control procedures is shown for a position differential game. This paper follows [2, 3].
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