DETERMINISTIC DIFFERENTIAL GAMES UNDER PROBABILITY KNOWLEDGE OF INITIAL CONDITION

Abstract

We study a zero-sum differential game where the players have only an unperfect information on the state of the system. In the beginning of the game only a random distribution on the initial state is available. The main result of the paper is the existence of the value obtained through an uniqueness result for Hamilton-Jacobi-Isaacs equations stated on the space of measure in ℝ n . This result is the first step for future work on differential games with lack of information.