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Theoretical paper demonstrates optimal strategies in stochastic control and validates saddle-point existence for games under Isaacs' condition.
This paper is concerned with the applications to stochastic control and stochastic zero-sum differential games of some results on backward stochastic differential equations. Using these techniques we give a new approach of the existence of an optimal strategy for the stochastic control of diffusions; in a same way we prove the existence of a saddle-point for zero-sum stochastic differential games when the Isaacs' condition is satisfied
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Hamadène et al. (1995) studied this question.
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