  We consider two person zero-sum games where the players control, at discrete
times {tn} induced by a partition $\Pi$ of R + , a continuous time Markov state
process. We prove that the limit of the values v$\Pi$ exist as the mesh of
$\Pi$ goes to 0. The analysis covers the cases of : 1) stochastic games (where
both players know the state) 2) symmetric no information. The proof is by
reduction to a deterministic differential game.
