A differential game with jump process observations

We introduce a stochastic differential game with jump process observations. Both players obtain common, noisy information of the state of the system only at random time instants. The solutions to this game and its continuous observations in noise counterpart are obtained. Some earlier results dealing with the effect of changes in system parameters on the optimal cost for the continuous observations case are extended to the game with jump process observations.This work was supported by a 1978 Summer Faculty Fellowship from the University of Maryland, Baltimore County.