On Hamilton-Jacobi-Bellman-Isaacs Equation for Time-Delay Systems

Abstract

The paper deals with a two-person zero-sum differential game for a dynamical system which motion is described by a delay differential equation under an initial condition defined by a piecewise continuous function. For the value functional of this game, we derive the Hamilton-Jacobi type equation with coinvariant derivatives. It is proved that, if the solution of this equation satisfies certain smoothness conditions, then it coincides with the value functional. On the other hand, it is proved that, at the points of coinvariant differentiability, the value functional satisfies the derived Hamilton-Jacobi equation. Therefore, this equation can be called the Hamilton-Jacobi-Bellman-Isaacs equation for time-delay systems.