Differential Games with Incomplete Information and with Signal Revealing: The Symmetric Case

Abstract

In this paper, we investigate the existence of value for a two-person zero-sum differential game with symmetric incomplete information and with signal revealing. Before the game begins, the initial state of the dynamic is chosen randomly among a finite number of points in $$\mathbb {R}^n$$ , while both players have only a probabilistic knowledge of the chosen initial state. During the game, if the system reaches a fixed closed target set K, the current state of the system at the hitting time is revealed to both players. We prove in this paper that this game has a value and its value function is the unique bounded continuous viscosity solution of a suitable Hamilton–Jacobi–Isaacs equation.