The invention belongs to the field of non-linear 
differential game control, and provides a random non-linear 
differential game control method based on statistic 
linearization. The random non-linear 
differential game control method based on the statistic 
linearization comprises the following steps of: carrying out similar 
linearization on a 
system non-linear function by using a statistic linearization technology according to 
system state random probabilistic nature, and deriving with a random 
dynamic programming method to obtain analysis controller containing a statistic linearization coefficient; and meanwhile, carrying out statistic linearization on a non-linear saturation function by considering a condition that a control 
mount in actual 
engineering is limited by saturation, so as to obtain an analysis controller in a saturation limited condition. The controller consists of two parts of a 
system state feedback part and a statistic 
linear coefficient feedback part. With the adoption of the method, the two-
point boundary problem caused by solving a non-linear (partial) 
differential equation (set) can be effectively avoided; and the random non-linear differential game control problems can be more conveniently solved on the premise that certain solving accuracy is ensured, so that multiple functions which cannot carry out the linearization by using Taylor 
series expansion have possibility of carrying out the linearization. The method is particularly suitable for functions, such as 
phase step and saturation control and 
digital conversion switch which are most used on aircraft, and has strong popularization and application values.