Linear Differential Games with Delayed and Noisy Information

This paper deals with a linear-quadratic-Gaussian zero-sum game in which one player has delayed and noisy information and the other has perfect information. Assuming that the player with perfect information can deduce his opponent's state estimate, the optimal closed-loop control laws are derived. Then, it is shown that the separation theorem is satisfied for the player with imperfect information and his optimal state estimate is given by a delay-differential equation.