Abstract
It is well known that theH ∞ control problem has a state space formulation in terms of differential games. For a finite time horizon control problem, the analogous differential game is considered. The disturbance is the control for the maximizing player. In order to allow forL 2 disturbances, the controls for at least one player must be allowed to be unbounded. It is shown that the value of the game is the viscosity solution of the corresponding Isaacs equation under rather general conditions.
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McEneaney, W.M. Robust control and differential games on a finite time horizon. Math. Control Signal Systems 8, 138–166 (1995). https://doi.org/10.1007/BF01210205
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DOI: https://doi.org/10.1007/BF01210205