Linear Quadratic Differential Games: Closed Loop Saddle Points

@article{Delfour2009LinearQD,
  title={Linear Quadratic Differential Games: Closed Loop Saddle Points},
  author={Michel C. Delfour and Olivier Dello Sbarba},
  journal={SIAM J. Control and Optimization},
  year={2009},
  volume={47},
  pages={3138-3166}
}
The object of this paper is to revisit the results of P. Bernhard (J. Optim. Theory Appl. 27 (1979), 51–69) on two-person zero-sum linear quadratic differential games and generalize them to utility functions without positivity assumptions on the matrices acting on the state variable and to linear dynamics with bounded measurable data matrices. The paper specializes to state feedback via Lebesgue measurable affine closed loop strategies with possible non L-integrable singularities. After… CONTINUE READING

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