Differential games with noise-corrupted measurements

In this paper, readily computable strategies for zero-sum, linear-quadratic differential games with noise-corrupted measurements are developed. Of particular significance is the fact that the governing differential equations no longer require the solution of an often difficult nonlinear, two-point boundary-value problem, but again satisfy the separation principle of linear-quadratic optimal control. The implications of the payoff relationships are considered.In a subsequent paper, we will apply the theory developed in this paper to a detailed example of a pursuit-evasion game. We discuss a missile and an airplane system where the missile supported by its launch platform has perfect state measurements and the airplane has noise-corrupted measurements.