Approximation of value function of differential game with minimal cost

The paper is concerned with the approximation of value function zero-sum differential game minimal cost, i.e., payoff functional determined by minimization some quantity along trajectory solutions continuous-time stochastic games stopping governed one player. Notice that auxiliary described Isaacs–Bellman equation additional inequality constraints. a parabolic PDE for case and it takes form system ODEs Markov game. developed in based on concept guide first proposed Krasovskii Kotelnikova.