Markov Approximation of Zero-sum Differential Games
The paper is concerned with approximations of a value function of a differential game. To this end we introduce a approximation of the original differential game by a continuous-time Markov game with infinite state space. The value function of this game in a given region is approximated by a solution of a finite state Markov game. This yields the approximation of the value function of the original differential game by the finite system of ODEs.