Abstract
We consider linear-quadratic, two-person, zero-sum perfect information differential games, possibly with a linear target set. We show a necessary and sufficient condition for the existence of a saddle point, within a wide class of causal strategies (including, but not restricted to, pure state feedbacks). The main result is that, when they exist, the optimal strategies are pure feedbacks, given by the classical formulas suitably extended, and that existence may be obtained even in the presence of a conjugate point within the time interval, provided it is of a special type that we calleven.
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Communicated by P. L. Yu
The partial support of the Trieste Unit of the GNAS, Italian CNR, is gratefully acknowledged.
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Bernhard, P. Linear-quadratic, two-person, zero-sum differential games: Necessary and sufficient conditions. J Optim Theory Appl 27, 51–69 (1979). https://doi.org/10.1007/BF00933325
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DOI: https://doi.org/10.1007/BF00933325