Abstract
A linear-quadratic differential game in which the system state is affected by disturbance and both players have access to different measurements is solved. The problem is first converted to an optimization problem in infinite-dimensional state space and then solved using standard techniques. For convenience, “L 2-white noise” instead of “Wiener process” setup is used.
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Communicated by A. Bensoussan
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Bagchi, A., Olsder, G.J. Linear-quadratic stochastic pursuit-evasion games. Appl Math Optim 7, 95–123 (1981). https://doi.org/10.1007/BF01442109
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DOI: https://doi.org/10.1007/BF01442109