Game theory involves multi-person decision making and differential dynamic game theory has been widely applied to n-person decision making problems, which are stimulated by a vast number of applications. This book addresses the gap to discuss general stochastic n-person noncooperative and cooperative game theory with wide applications to control systems, signal processing systems, communication systems, managements, financial systems, and biological systems. Hinfinity game strategy, n-person cooperative and noncooperative game strategy are discussed for linear and nonlinear stochastic systems along with some computational algorithms developed to efficiently solve these game strategies.