Ghosh, Mrinal K.Marcus, Steven I.We have studied two-person stochastic differential games with multiple modes. For the zero-sum game we have established the existence of optimal strategies for both players. For the non- zero sum case we have proved the existence of a Nash equilibrium.en-UScontrol diffusionsMarkov chainsMarkov strategyoptimal strategyIsaacs equationNash equilibriumSystems Integration MethodologyTechnical Report