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- W2080417732 abstract "Abstract A two person differential game model in which the state process is described by a stochastic differential equation with respect to a martingale and parametrized by a small parameter is considered. The drift term is affected by both policies of each player as well as a rapidly fluctuating exogenous process. When the ‘intensity’ of the random noise becomes small with the parameter and the ‘contaminating’ process fluctuates with increasing speed, the limiting model becomes deterministic. It is shown that by using the optimal policy pair of the limiting deterministic system for the original model is asymptotically optimal. A differential inequality condition will be used for the convergence analysis." @default.
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- W2080417732 date "2005-11-01" @default.
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- W2080417732 title "Differential inequality approach for deterministic approximation in two person zero-sum stochastic differential games" @default.
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- W2080417732 doi "https://doi.org/10.1016/j.na.2005.03.009" @default.
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