The paper provides a systematic way for finding a partial differential equation that characterize directly the optimal control, in the framework of one?dimensional stochastic control problems of Mayer, with no constraints on the controls. The results obtained are applied to some significative...

This paper gives a new method to characterize Markov Perfect Nash Equilibrium in stochastic differential games by means of a set of Generalized Euler Equations. Necessary and sufficient conditions are given.